markets, to quantify both negative and positive equity returns contagion in mature and emerging equity markets during the past … decade. The results indicate (a) higher contagion for negative returns than for positive returns; (b) a secular increase in … contagion in Latin America not matched in other regions; (c) global increases in contagion following the 1998 financial crises …

Contagion can be defined as the probability of observing large return realizations simultaneously across different … financial markets (co-exceedances) rather than as increases in correlations. We introduce global extreme contagion measures … returns contagion at the inter- and intraregional level for a number of mature and emerging equity markets during the past …