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



Fig. 2d - Stock market covariance of weekly returns

(Asia; 3 month exp. moving average)

Brazil             Mexico

USA


Argentina



0.56 --

0.48 -

0.40 -

0.32 -

0.24 -

0.16 -

0.08 -

0.00 --

-0.08 --




Brazil


1994 1995 1996 1997 1998 1999




Mexico




Russia


1994 1995 1996 1997 1998 1999




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