We analyzed the linkages of news to speculative bubbles in the equity markets of six South-East Asian countries and the U.S. over the period 1995-2011. To this end, we estimated a model that renders it possible to decompose equity market indexes into fundamentals and speculative bubbles. We then extracted news to speculative bubbles and used a correlation analysis to detect contagion effects due to the recent financial crisis. Our results indicate that evidence of contagion is not very strong.
|Number of pages||8|
|Journal||The Empirical Economics Letters|
|Publication status||Published - Feb 2012|