Working Paper

Testing for contagion using correlations: some words of caution

Abstract: Tests for contagion in financial returns using correlation analysis are seriously affected by the size of the noncrisis and crisis periods. Typically the crisis period contains relatively few observations, which seriously affects the power of the test.

Keywords: Financial crises; Financial markets;

Bibliographic Information

Provider: Federal Reserve Bank of San Francisco

Part of Series: Pacific Basin Working Paper Series

Publication Date: 2001

Number: 2001-09