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



Korea


Hong Kong


Malaysia


Singapore


Indon.


Thail.


Philip.


Fig. 2c - Stock market covariance of weekly returns


(Asia vs. USA and Japan; 3 month exponential moving average)


USA


0.20 ------------------------

0.15 :      u

0∙05-   "     .

ʌ.

0.00--4------43—4√'*'T V-T --v --- --------f* J QO—ΓT l '-----------

0.05      ....................................................................................................................

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999


0.175 -

0.150 -

0.125 -

0.100 -

0.075 -

0.050 -

0.025 -

v. ʌ

A

d

0.000 -

0.025 -

Iiiiiiiiiiiiiiiiiiiiiiiiiiiii

Iiiiiiiiiiii

Iiiiiiiiiiii

τπττπτ

Iiiiiiiiiiiiiiiiiiiiiiiiiiiiiii

Iiiiiiiiiiiii

Iiiiiiiiiiii

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999


0.210

0.180

0.150

0.120

0.090

0.060

0.030

0.000

-0.030


0.200

0.1/5

0.150

0.125

0.100

0.0/5

0.050

0.025

0.000

-0.025


0.30


0.25

0.20


0.15

0.10

0.05

0.00

-0.05

-0.10


πππππwιτιrιτιτιrππι


1990 1991 1992 1993 1994 1995 1996 1997 1998 1999


7τττττττττττπππττππττπππττππττr



1990 1991 1992 1993 1994 1995 1996 1997 1998 1999

0.15

0.10

0.05

0.00

-0.05

j Iiiiiiiiiiiiiiiiiiiiiiiiiiiii Iiiiiiiiiii iiiii

.W
ιιιιιιι
iiiiiiii ιιmττ∏τττ∏ττm∏ιι Iiiiii Ii Iiiiiiiiii Iiiiiiiiiii

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999


Iiiiiiiiiiiiiiiiiiiiiiiiiiiii Iiiiiiiiiii Iiiiiiiiiiii iiiiiiii Iiiiiiiiiiiiiiiiiiiiiii iiiiiiiii Iiiiiiiiii Iiiiiiiiiii

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999


0.30

0.25

0.20

0.15

0.10

0.05

0.00

-0.05

-0.10


Japan



1990 1991 1992 1993 1994 1995 1996 1997 1998 1999


0.20

0.15

0.10

0.05

0.00

-0.05


0.20

0.15

0.10

0.05

0.00

-0.05


0.18

0.12

0.06

0.00

-0.06

-0.12


0.25

0.20

0.15

0.10

0.05

0.00

-0.05

-0.10


1990 1991 1992 1993 1994 1995 1996 1997 1998 1999


1990 1991 1992 1993 1994 1995 1996 1997 1998 1999


TnTTTTTTTTTTwillllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllIIIIII

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999



ττττττ∏τττnττττnτττττmτt


ι≡m∏≡



0.150

0.125

0.100

0.075

0.050

0.025

0.000

-0.025

-0.050


(4 A^Λ aλ /

j Iiiiiiiiiiiiiiiiiiiiiiiiiiiii Iiiiiiiiiii Iiiiiiiiiiiiπn≡Iiiiiiiiiiiiiiiiiiiiiiiπ≡Ttiiiiiiiiii Iiiiiiiiiii

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999


0.20

0.15

0.10

0.05

0.00

-0.05

-0.10


1990 1991 1992 1993 1994 1995 1996 1997 1998 1999


1990 1991 1992 1993 1994 1995 1996 1997 1998 1999




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