This Research Foundation monograph is the result of more than three years of empirical research in the area of contagion. It all started for me in a seminar where I was discussing an empirical fact based on a very innocent graph (similar to those presented in Chapter 2). I was showing the conditional covariance between the Mexican and Argentine stock markets, and I was I puzzled by the increase in comovement during the major financial crises of the 1990s. I claimed that those changes were empirical support for one of my theoretical papers. The implication of this paper was that during financial turmoil, comovement should increase. Raman Uppal of the London Business School was in the audience, however, and he told me that the evidence I was using to support my contention was wrong and that the "facts" were missing an important statistical regularity. He was right.

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