No Contagion, Only Interdependence: Measuring Stock Market Comovements
指出异方差性会扭曲基于相关系数的传染检验，在调整这一偏差后发现1997年亚洲危机、1994年墨西哥比索贬值和1987年美国股灾期间并无传染，但存在持续的相互依赖。
ABSTRACT Heteroskedasticity biases tests for contagion based on correlation coefficients. When contagion is defined as a significant increase in market comovement after a shock to one country, previous work suggests contagion occurred during recent crises. This paper shows that correlation coefficients are conditional on market volatility. Under certain assumptions, it is possible to adjust for this bias. Using this adjustment, there was virtually no increase in unconditional correlation coefficients (i.e., no contagion) during the 1997 Asian crisis, 1994 Mexican devaluation, and 1987 U.S. market crash. There is a high level of market comovement in all periods, however, which we call interdependence.