This paper proposes a multivariate test for contagion that distinguishes between vulnerability, positive and negative contagion. The model provides a time series of contagion with which the existence, severity and significance of crisis periods can be endogenously determined. Eleven stock markets from the Asian region are analyzed during the Asian crisis, and contagion is significant in four periods. These episodes are split equally between positive and negative movements. Anecdotal evidence is matched to significant contagion, with events surrounding Hong Kong the key drivers.