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International FinanceA Survey$
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H. Kent Baker and Leigh A. Riddick

Print publication date: 2012

Print ISBN-13: 9780199754656

Published to Oxford Scholarship Online: May 2013

DOI: 10.1093/acprof:oso/9780199754656.001.0001

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Links between International Financial Markets and Volatility

Links between International Financial Markets and Volatility

Chapter:
(p.140) 7 Links between International Financial Markets and Volatility
Source:
International Finance
Author(s):

KIRT C. BUTLER

GERKEN WILLIAM

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199754656.003.0007

The international financial crisis of 2008 focused attention on linkages between international financial markets as the crisis quickly propagated across countries and markets. Understanding the extent of financial market contagion during crisis times requires identifying normal interdependence; that is, how markets move during normal times. Normal interdependence includes price and volatility spillovers that may arrive contemporaneously or with a delay. Once normal interdependence is recognized, financial contagion can be measured relative to this base as a cross-market change in the transmission channels—particularly in asset price comovements—after a shock in one market. This chapter surveys the evidence on the linkages between international financial markets in an effort to characterize understanding of normal interdependence and contagion.

Keywords:   volatility, correlations and comovements, normal interdependence, spillovers, contagion

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