This paper surveys and assesses the academic literature on defining, measuring, and
identifying financial contagion and the various channels by which it can occur. It also …

What is the aggregate real rate of return in the economy? Is it higher than the growth rate of
the economy and, if so, by how much? Is there a tendency for returns to fall in the long run …

This paper studies the synchronization of financial cycles across 17 advanced economies
over the past 150 years. The comovement in credit, house prices, and equity prices has …

This paper examines the dynamic process of convergence among cross-border stock
markets in China and ASEAN-5 countries using recursive cointegration analysis. The results …

This paper defines “interdependence” as high correlations across markets during all states
of the world and “contagion” as the spillovers from extreme negative events …

Focusing on data from the United States and the United Kingdom, we document that both
the anomaly identified by Backus and Smith, which concerns the low correlation between …

We propose a measure of financial market integration based on a factor model of equity
returns computed back to the first era of financial globalization for 17 countries. Global …

This paper investigates the stock market co-movements between China and its 12 trading
partners in the Asia-Pacific region after the Global Financial Crisis. The Dynamic Conditional …

In this study, we examine the patterns and causes of stock market integration of selected
emerging Asian nations against the US, Australia, China, and India for the period 1 January …

The present study investigates the changes in G20 stock market dynamics and their
interlinkages in the aftermath of COVID-19. It utilizes the Detrended Cross-Correlation …