Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/215031 
Year of Publication: 
2019
Series/Report no.: 
CESifo Working Paper No. 8029
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
We consolidate alternative ways for identifying stable and stressful scenarios in the S&P 500 market to construct contagion tests for recipient markets vulnerable to disturbances from this source market. The S&P 500 is decomposed into discrete conditions of: (1) Tranquil versus turbulent volatility; (2) Bull versus bear market phases; (3) Normal periods versus asset bubbles and crises. We analyse the relationship between the S&P 500 and major emerging Caribbean stock markets and find that, despite the prominent trade related exposure to the US, financial linkages are much less pronounced than might be expected outside of the Great Recession.
Subjects: 
Caribbean
contagion
correlation
S&P 500
stock market
United States
JEL: 
C58
G01
Document Type: 
Working Paper
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