01775cas a2200265 a 4500 AALejournalIMF001976 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451852158 1018-5941 BD-DhAAL BD-DhAAL Yao, James. Extreme Contagion in Equity Markets / James Yao, Jorge Chan-Lau, Donald Mathieson. Washington, D.C. : International Monetary Fund, 2002. 1 online resource (25 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This study uses bivariate extremal dependence measures, based on the number of equity return co-exceedances in two markets, to quantify both negative and positive equity returns contagion in mature and emerging equity markets during the past decade. The results indicate (a) higher contagion for negative returns than for positive returns; (b) a secular increase in contagion in Latin America not matched in other regions; (c) global increases in contagion following the 1998 financial crises; and (d) that the use of simple correlations as a proxy for contagion could be misleading, as the former exhibit low correlation with extremal dependence measures of contagion. Mode of access: Internet Chan-Lau, Jorge. Mathieson, Donald. IMF Working Papers; Working Paper ; No. 2002/098 Full text available on IMF http://elibrary.imf.org/view/journals/001/2002/098/001.2002.issue-098-en.xml IMF e-Library