Extreme market co-movements in the context of time-varying market integration are investigated for APEC emerging equity markets using the concept of extreme correlation. We show that both foreign and domestic portfolio investments have contributed to extreme market movements; and extreme...

We observe an intra-industry effect following a bank loan rating downgrade announcement, which differs for large and small competitors. A significant negative market reaction occurs between smaller competitors and rated firms, indicating the presence of a contagion effect; while significantly...