摘要：The purpose of this study is to investigate whether contagion actually occurred duringthree well-known financial crises in 1990s and 2000s: Mexican “Tequila” crisis in 1994, Asian“flu” crisis in 1997 and US subprime crisis in 2007. We apply dynamic conditional correlationmodels (DCC-GARCH(1,1)) to daily stock-index returns of eight Asian stock markets, six LatinAmerican stock markets and US stock market. Defining contagion as a significant increase of dynamicconditional correlations, we test for contagion by using a difference test for DCC means. The resultsobtained shows that there is a pure contagion from crisis-originating markets to other emerging stockmarkets during these three crisis. However, the contagion effects are different from one crisis to theother. Firstly, during the Mexican crisis, contagion is detected in only the Latin American region.Secondly, during the Asian crisis, we find evidence of contagion in some markets in both the Asianand Latin American regions. Finally, contagion is proved to be present in all stock markets with theonly exception for Brazil during US subprime crisis.
关键词：international financial contagion; shift contagion; emerging stock markets; Asian crisis; Mexican crisis; US subprime crisis; DCC-GARCH
