Measuring Financial Contagion Using Time‐Aligned Data: The Importance of the Speed of Transmission of Shocks*
提出新方法，通过精确对齐不同市场的时间戳并允许时滞，来纠正传统收盘价数据在测量金融传染时的偏差。对亚洲危机期间的分析表明，冲击传播速度越快，检测到的传染证据越多。
Abstract This paper presents a new empirical approach to address the problem of trading time differences between markets in studies of financial contagion. In contrast to end‐of‐business‐day data common to most contagion studies, we employ price observations, which are exactly aligned in time to correct for time‐zone and end‐of‐business‐day differences between markets. Additionally, we allow for time lags between price observations in order to test the assumption that the shock is not immediately transmitted from one market to the other. Our analysis of the financial turmoil surrounding the Asian crisis reveals that such corrections have an important bearing on the evidence for contagion, independent of the methodology employed. Using a correlation‐based test, we find more contagion the faster we assume the shock to be transmitted.