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



Fig. la - Stock market volatility (daily returns, 3M exp. mov. average)

0.8

0.7

0.6

0.5

0.4

0.3

0.2

0.1

0.0


Korea



0.56

0.48

0.40

0.32

0.24

0.16

0.08

0.00


1990     1992     1994     1996     1998



0.8

0.7

0.6

0.5

0.4

0.3

0.2

0.1

0.0


Brazil


1990     1992     1994     1996     1998


Hong Kong

1.00

0.75

0.50

0.25

0.00

1990     1992     1994     1996     1998


0.8

0.7

0.6

0.5

0.4

0.3

0.2

0.1

0.0


Thailand


1990     1992     1994     1996     1998


Indonesia



Mexico






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