5.2.1. Contagion during the Mexican "Tequila" Crisis

In the Mexican "Tequila" crisis, we do not find contagion from Mexican stock market to Asian emerging stock markets. Actually, the DCCs between Indonesia, Korea and Singapore increase lightly after the crisis with respectively 0.0017%, 1.1157%, and 2.1926% (8). However, these increases are not statistically significant. The t-statistics are inferior to the critical values, leading to accept the null hypothesis of non contagion. This implies an interdependence phenomen between these markets and Mexican market, and not a shift contagion. On the contrary, concerning Latin American stock markets, there is a pure contagion phenomenon from Mexican stock market to Argentinian, Chilian stock markets. The DCCs between these two markets and Mexican stock markets increased significantly at 1% between two periods. These results allow us to conclude that Mexican crisis was just a regional phenomenon. This finding is consistent with the work of Bodart and Candelon (2009).
