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Please refer to this blog post for more information. We explain co-movements between stock markets by explicitly considering the distinction between interdependence and contagion.
We propose and implement a full-information approach on data for US and Germany to provide answers to the following questions: Is there short-term interdependence and contagion between US and German stock markets, i. Our answers are, respectively, no to the first question and yes to the second one.
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Explaining co-movements between stock markets: The case of US and Germany
Journal of International Money and Finance Volume 24, Issue 8 , December , Pages Explaining co-movements between stock markets: The case of US and Germany.
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Abstract We explain co-movements between stock markets by explicitly considering the distinction between interdependence and contagion. Check if you have access through your login credentials or your institution.
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