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 …

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

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 …

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 …

(local) currency pricing version of the model generates a negative (positive) cross-country correlation of stock prices …