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

Korea

1.00

0.75

0.50

0.25

0.00

-0.25

-0.50

-0.75

-1.00

1.00

Hong Kong

1.00

Malaysia

Singapore

1.00

0.75

0.50

0.25

0.00

-0.25

-0.50

-0.75

-1.00

1.00

Indon.

1.00

Thail.

-1.00

1.00

Philip.

Fig. 3c - Stock market correlation of weekly returns

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

USA

	AA√∣∣⅛ r..f∖ ∕⅜⅛	[Чд W
	1 У Wpyj у	NA/
	lllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllll	Iiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiii	Iiiiiiiiiiii

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999

0.50

0.25

0.00

-0.25

-0.50

-0.75

-1.00

_______

ITTmTTTlTTTTTTTTlllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllIIIIII
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999

0.50

0.25

0.00

-0.25

-0.50

-0.75

-1.00

ɪ A/M
_   rɪ j—Iiiiiiiiiiiiiiiiiiiiiiiiiiiii инн	м' inn ni ni ni и I τππ	Vw г Tttiiiiiiiiiiiiiiiiiiiiiii iiiiim	v" f ιιιιιιιιιι Iiiiiiiiiii—

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999

7γM⅛

Iiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiii
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999

0.75

0.50

0.25

0.00

-0.25

-0.50

-0.75

-1.00

ITTTTTTTTTTTTTTTTTTIIIIlllllIllll III III Illlll III III Il III IlllIl III III IlIlllIl III III III III III IlIlll III Il III Illlll III III III
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999

0.75

0.50

0.25

0.00

-0.25

-0.50

∕4∖

Iiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiii
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999

0.50

0.25

0.00

-0.25

-0.50

-0.75

-1.00

- лД/Уч fι
- r⅛r ⅛ v j Iiiiiiiiiiiiiiiiiiiiiiiiiiiii inn	√ W inn Iiiiiiiiiiii iiiii	Otiiiiiiiiiiiiiiiiiiiiiii ιιιιιιπ	T Iiiiiiiii Iiiiiiiiii

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999

1.00

0.75

0.50

0.25

0.00

-0.25

-0.50

-0.75

-1.00

1.00

1.00
0.75
0.50
0.25
0.00

-0.25

-0.50

-0.75

-1.00

Japan

≡ /ДА		∕imj,
j Iiiiiiiiiiiiiiiiiiiiiiiiiiiii	∏∏⅛n Iiiiiiiiiii Iiiiiiiiiiii	ιιιιιιιι Iiiiiiiiiiiiiiiiiiiiiii IiiiiiTriiiiiiiiii Iiiiiiiiiii

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999

0.50

0.25

0.00

-0.25

-0.50

-0.75

-1.00

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999

rrrrrrrrrrrrrrrrrrrrrrιιιιιι и ni linn ni ni Iiiiiiiiiii linn Iirrrrrrrrrrrrrrrrrrrrrni ni и ini ni и ni ni ni ni ni ni

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999

1.00

-1.00

1.00

-1.00

0.50

0.25

0.00

-0.25

-0.50

0.50

0.25

0.00

-0.25

-0.50

			4n
		vj ∣ v	⅛W V
Iiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiii 1990 1991 1992 1993 1994		llllllllllllllllllllllllllllllllllllll 1995 1996 1997	Iiiiiiiiiiiiiiiiiiiiii 998 1999
	Дл J	∖M⅞W⅜, f ∖p	A∕V
^j Iiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiiii 1990 1991 1992	γV llllllllllllllllllllllll 1993 1994	1∏⅛∣ ιιιιlιιιιιιιιιιιιιιιιιιιιιιιιιιιιιιιιι 1995 1996 1997	Iiiiiiiiiiiiiiiiiiiiii 998 1999