heteroscedasticity biases based on correlation coefficients to examine if any contagion occurred across financial markets after the March … study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake, tsunami and … foreign exchange markets suffered from contagion, stock markets of Taiwan, Bahrain, Saudi Arabia and South Africa witnessed a …

examines whether equity markets in emerging countries were vulnerable to contagion during the recent financial meltdown …

instability could pose a risk of financial contagion to emerging countries. With retrospect to the Kenyan political crisis, our …

This paper builds a general test of contagion in financial markets based on bivariate correlation analysis - a test … that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in … contributions in the literature as special cases of our test. We show that, while the literature on correlation analysis of …

sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the … 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 …

time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher …

and volatilities (contagion). More precisely, cyber attacks appear to strengthen cross-market linkages, thereby reducing … portfolio diversification opportunities for cryptocurrency investors. Finally, the conditional correlation analysis confirms the …

While the enlargement of the Euro area to new countries has reduced the average return correlation among member … countries, the financial crisis and the sovereign debt crisis have led to an increase in stock return correlation among old …' correlation with domestic assets. This evidence sheds light on the determinants of the sharp decline in bilateral equity …