**4. Data and Descriptive Statistics**

The data used in this paper are daily returns of stock price indexes obtained from Datastream, which are all expressed in local currency. Following the conventional approach, equity market returns are computed through log-differentiation and expressed as percentages. The Asian sample consists of 8 markets: Hong Kong, Thailand (taken as alternative sources of contagion), Indonesia, Malaysia, the Philippines, South Korea, Taiwan, Singapore. The Latin American sample includes Mexico (considered as source of contagion), Argentina, Chile, Venezuela, Colombia.

For the Mexican crisis of 1994, the period preceding the crisis is from the 1 January 1993 to 31 March 1995. This crisis is triggered by the devaluation of the Mexican peso in 19 December 1994. Hence, the total period is divided into two sub-periods: from 1 January 1993 to 16 December 1994 (pre-crisis period) and from 19 December 1994 to 31 March 1995 (crisis period).

In line with Cho and Parhizgari (2008), the period of the analysis of the contagion during the Asian "flu" crisis begins from January 1, 1996 to December 30, 1998. The choice of the beginning date is explained by the fact that it is relatively distanced from the Mexican crisis of 1994. The two dates often considered as inception of the turmoil periods are July 2, 1997 when the Thailand baht was devalued and 17 October 1997 when Hong Kong stock market crashed (See Cho and Parhizgari (2008)). We consider both Hong Kong and Thailand as originating countries.

The US subprime crisis is generally identified to begin on 1 August 2007. The total period determined to analyze the contagion from American market to emerging markets stretches from the 3 January 2006 to 31 December 2008. Hence, the stable period is between the 3 January 2006 and 31 July 2007. The crisis period is between 1 August 2007 and 31 December 2008.

The summary statistics of stock-index returns are presented in Tables 1–4. We divide the entire periods in tranquil periods and turmoil periods by using the break dates for each crisis as mentioned above. One similar result drawn when comparing the first two moments of stock returns for two sub-periods is that the stock returns are generally higher during tranquil periods while variances are higher during turmoil periods (except for Mexican crisis). Moreover, every series of stock returns exhibits non-normality with significantly positive excess kurtosis, which is common to daily equity stock returns. This reveals the existence of extreme returns for these markets. The skewness parameters are not all significant for markets included in the sample.


**Table 1.** Descriptive statistics on stock returns: The Mexican crisis.

The returns are in percentages. \*, \*\*, \*\*\* represent statistical significance at the 1%, 5%, 10% levels of risk.


**Table 2.** Descriptive statistics on stock returns: The Asian crisis (Source of contagion: Thailand).

The returns are in percentages. \*\*, \*\*\* represent statistical significance at the 5%, 10% levels of risk.

**Table 3.** Descriptive statistics on stock returns: The Asian Crisis (Source of contagion: Hong Kong).


The returns are in percentages. \*, \*\*, \*\*\* represent statistical significance at the 1%, 5%, 10% levels of risk.

> **Table 4.** Descriptive statistics on stock returns: The US subprime Crisis.


The returns are in percentages. \*\*, \*\*\* represent statistical significance at the 5%, 10% levels of risk.
