Empirical Analysis of Financial Crisis Contagion Based on Scan Statistics

Wu-Yi Ye ； Wen Zhu ； Bai-Qi Miao

《管理科學與統計決策》 11卷1期 (2014/03) Pp. 1-12

https://doi.org/10.6704/JMSSD.2014.11.1.1

並列摘要

Along with the financial liberalization reform and market globalization, international financial crisis and international financial turmoil appear continuously. Analysis of financial contagion becomes an interest of attention in international financial field. We analyze financial crisis contagion in terms of uniform symbol of yield by using scan statistics, which focus on the longest chain and clustering of events. Combining with several countries' stock markets, an empirical analysis of sub-prime crisis and European debt crisis is presented in our paper. Adopting respectively all data and separate data, we can conclude whether financial contagion exists or not and how to measure the degree of contagion. The empirical results show that the method proposed in our paper is effective, and those countries are more or less affected by the financial crisis. Due to our country's closer linkage with the world, we provide several suggestions about how to combat international financial crisis and alleviate its negative effect in last section.

並列關鍵字

Financial Liberalization ； Financial Crisis Contagion ； Scan Statistic ； The Longest Chain

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