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

Korea

Malaysia

Indon.

Thail.

Philip.

Fig. 3b - Stock market correlation of weekly returns

(Asia vs. Hong Kong and Singapore; 3 exponential month moving average)

1.00

0.75

0.50

0.25

0.00

-0.25

-0.50

-0.75

-1.00

Hong Kong

	/i Λ∣∖hΛ^
_ Γ   W j Iiiiiiiiiiiiiiiiiiiiiiiiiiii	Iiiiiiiiiiii Iiiiiiiiiii Iiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiwkiiiiiiiiiiiiiiiiiiiii

1990   1992   1994   1996   1998

1.00 0.75 0.50 0.25 0.00 -0.25 -0.50 -0.75 -1.00

J

h

v

r∙

ЧП

7

Iiiiiiiiiiiiiiiiiiiiiiiiiiiii

ми

≡≡

Iiiiiiiiiiiiiiiiiiiiiii

≡

тг

Iiiiiiiiiiiiiiiiiiiiiii

1990   1992   1994   1996   1998

1.00

0.75

0.50

0.25

0.00

-0.25

-0.50

-0.75

-1.00

1.00

0.75

0.50

0.25

0.00

-0.25

-0.50

-0.75

-1.00

1.00

0.75

0.50

0.25

0.00

-0.25

-0.50

-0.75

-1.00

1.00

0.75

0.50

0.25

0.00

-0.25

-0.50

-0.75

-1.00

Singapore

A√⅝	АлЦ у Л/
j Wf      ∖ J

Π111TWW1WT1HHIHIIHIHIIIIIIIIIIIIIIHHHIIIIIIIIIIIIIIIIIIIIIIIIIHIIHHIIIHIIIHIHIIIIIIIIIIII

1990   1992   1994   1996   1998

WllBwiwKiwilllllllllllllllHllllllllllllllllllllHlllllllllllllllllllllllllllllhlllllIIIIIim
1990   1992   1994   1996   1998

Ада rf	^fi}∣∖ Zv∖
1 ʃ W	г

1990   1992   1994   1996   1998

1.00 - 0.75 - 0.50 - 0.25 -	J y⅛‰	л	Ai		S	А	й
0.00 - -0.25 - -0.50 - -0.75 - -1.00 -	ДО 11П .............................	г мм	1 w^πrτπ	W	wιwτππτπτππr	шт	Γ^≡	∏≡≡

1990   1992   1994   1996   1998

1.00

0.75

0.50

0.25

0.00

-0.25

-0.50

-0.75

-1.00

1.00

0.75

0.50

0.25

0.00

-0.25

-0.50

-0.75

-1.00

1.00
0.75
0.50
0.25
0.00

-0.25

-0.50

-0.75

-1.00

7ΠH∏π∏≡≡≡ll IllllIIIIllllhlllllllllinillllllllllllllllllllllllllllllllllllllliniIIIIIH

1990   1992   1994   1996   1998

—∙⅛		-Λ∏∕χ /УЧ
1 ’ j Iiiiiiiiiiiiiiiiiiiiiiiiiiiii	Iiiiiiiiiii Iiiiiiiiiii	V TiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiMriiiiIIIIii Iiiiiiiiiii

1990   1992   1994   1996   1998

1990   1992   1994   1996   1998