An examination of higher-moment contagion during the South Sea Bubble

Mohammad S. Hasan, Robert Gausden, Ortenca Kume

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    Abstract

    The objective of this paper is to investigate the nature and the direction of the contagion during the episode of the South Sea Bubble. Previous research in this area has adopted a correlation and cointegration approach. In preference, though, we place reliance upon four different tests of linear and higher-moment contagion. From using daily data on the share prices of six companies from December 1719 to January 1721, strong evidence is obtained of contagion when applying co-skewness, co-volatility, and co-kurtosis tests.
    Original languageEnglish
    Number of pages5
    JournalApplied Economics Letters
    Early online date31 Aug 2021
    DOIs
    Publication statusEarly online - 31 Aug 2021

    Keywords

    • South Sea Bubble
    • contagion
    • adjusted correlation coefficient
    • higher-moment tests

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