Financial contagion: review of empirical literature

Abstract

Purpose The purpose of this paper is to obtain a comprehensive structure of past empirical studies on financial contagion which can provide the present growth and future scope of research work on the field of contagion analysis. Design/methodology/approach Present study identifies 151 empirical studies on financial contagion and summarises all the studies on the basis of tools and methodology used, year of the studies, origin of the studies, sample period and sample countries taken, studies undertaken on the basis of different crisis period and markets considered and finally sources of the studies. Findings The results of the analysis show that the empirical studies on contagion increased continuously over the past five years. Higher order test of contagion with more number of sample countries may provide more accurate picture on financial contagion. Originality/value This paper collects, classifies and summarises past empirical studies on financial contagion and provides valuable conclusion on present growth and future scope of studies on financial contagion. The information given in this paper can be helpful for future researchers and academicians on this particular field; the summary of the conclusion (from past reviews) may be helpful for the policy makers for asset allocation and risk management.