The objective of this study is to test the presence of the contagion phenomenon during the US subprime crisis. We adopt the test of adjusted correlation coefficients between markets and propose a new procedure that involves testing the non-linearity of the propagation mechanism shocks, estimated...

This study offers a new perspective on crisis transmission through an examination of herding contagion during 2008-global financial crisis across Asian and European financial markets. Using a bivariate GARCH-BEKK model, results show that the volatility of US stock market during the subprime...