plunging stock market in the US, in the aftermath of global financial crisis (2007 - 2009), exerts contagion effects on … terms, and time-varying correlations. The empirical analysis shows a contagion effect for Brazil and Mexico during the early …

The current paper studies equity markets for the contagion of squared index returns as a proxy for stock market … squared stock returns of all 35 stock indices studied. Empirical findings show the evidence of contagion during the global … financial crisis (GFC) and Euro Zone crisis (EZC). The intensity of contagion varies depending on its sources. This implies that …

This paper is the first study to examine the financial contagion from the U.S., Japanese and Chinese markets to Asian …, implying the interdependence between these markets. Furthermore, we find significant contagion effects from the U.S. equity … out of 10 Asian emerging markets had experienced the contagion from the U.S. Our findings also suggest that contagion …

In the contemporary world bustling with global trade, a natural disaster or financial crisis in one country (or region … heteroscedasticity model are employed to compare the contagion effect in the stock markets of the initiating country on other countries …, determining whether economically devastating factors have contagion or spillover effects on other countries. The empirical results …

This paper examines the contagion effects of the U.S. subprime crisis on international stock markets using a DCC …-GARCH model on 38 country data. We find evidence of financial contagion not only in emerging markets but also in developed markets …

investors were a key source of contagion following the 2008 US financial crisis. Second, investor herding during the 2011 … findings to the prior contagion studies that rely on Chilean return data to highlight the contributions to international …

this crisis. During the Irish financial crisis from 2007 to 2010, strong contagion effects are uncovered between Irish … equity markets and the investigated European equity markets. The contagion effects are found to ease dramatically in the … intervention as a mechanism to mitigate and absorb contagion associated with state-specific financial crises and if possible …

We examine whether there is contagion from the U.S. stock market to six Central and Eastern European stock markets. We … use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative … set of marketrelated variables, we show that during the period from 1998 to 2014, financial contagion occurred, i …

indicative of contagion. While we find evidence of contagion from the U.S. and the global financial sector, the effects are small …. By contrast, there has been substantial contagion from domestic markets to individual domestic portfolios, with its …