Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test



Table 3: Robustness - Test results

Number of countries for which
interdependence is rejected

Test:

Fisher test

A = ʌɑ = A A = ʌɑ = 0

Sample:

Benchmark

8

5               1

Local currency

7__________

5______________2____________

Tranquil: 3.1.96-17.10.97
Crisis: 20.10.97-28.11.97

8

4              1

Tranquil: 3.1.96-17.10.97
Crisis: 20.10.97-31.12.97

8

5               1

Daily returns

8

7            3

The test A = A(' = A is based on the global factor estimated as the returns on the
‘world stock market index’.

27



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