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AN INQUIRY INTO CONTAGION TRANSMISSION AND SPILLOVER EFFECTS IN STOCK MARKETS
Ioan, Trenca; Nicolae, Petria; Eva, Dezsi - In: Annals of Faculty of Economics 1 (2013) 2, pp. 472-482
This paper represents a theoretical enquiry in contagion and its transmission mechanism. Our main purpose in to present … the different views regarding contagion as a mechanism, correlated with interdependence, a state of markets. We present … theoretical literature of contagion is that the measurable events are more rare that the number of possible hypothesis. So the …
Persistent link: https://www.econbiz.de/10010733863
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Study of the Correlation between the Romanian Stock Market and S&P500 Index during 2007-2009
Panait, Iulian - In: Romanian Economic Journal 14 (2011) 39, pp. 233-255
This article aims to study the evolution of the Bucharest Stock Exchange (BSE) and the particularities of its correlation with international stock markets during Jan 2007 - Dec 2009. The linear regression and correlation analysis on weekly and monthly data shows a good degree of synchronization...
Persistent link: https://www.econbiz.de/10009002713
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Correlation of International Stock Markets Before and During the Subprime Crisis
Moldovan, Ioana; Medrega, Claudia - In: Romanian Economic Journal 14 (2011) 40, pp. 173-193
The recent financial crisis has spread to markets worldwide. The correlation of evolutions registered by international capital markets is one of the effects of globalization. The speed at which problems on the American financial markets extended globally, starting with 2007, has reminded that...
Persistent link: https://www.econbiz.de/10009189899
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Extreme Returns in the European Financial Crisis
Chouliaras, Andreas; Grammatikos, Theoharry - Volkswirtschaftliche Fakultät, … - 2014
We examine the transmission of extreme stock market returns among three groups of countries: the Euro-periphery countries (Portugal, Ireland, Italy, Greece, Spain), the Euro-core countries (Germany, France, the Netherlands, Finland, Belgium), and the major European Union -but not euro- countries...
Persistent link: https://www.econbiz.de/10011113837
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A unified approach to investigate pure and wake-up-call contagion: Evidence from the Eurozone's first financial crisis
Ludwig, Alexander - In: Journal of International Money and Finance 48 (2014) PA, pp. 125-146
This paper simultaneously analyzes wake-up-call and pure contagion of sovereign risk in the Eurozone during its recent … financial crisis. Pure contagion of sovereign risk means the transmission of negative effects after a shock to a country which …-up-call contagion is defined as the change of sovereign risk pricing by market participants after negative events in a single country or …
Persistent link: https://www.econbiz.de/10010939662
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Sovereign risk contagion in the Eurozone: A time-varying coefficient approach
Ludwig, Alexander - Fakultät Wirtschaftswissenschaften, Technische … - 2013
This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion … contagion in typically bounded time intervals. Controlling for changes in the risk pricing by investors, we detect several … channels of pure contagion between 2008 and 2012. Further, we find that the bailout-programs for Greece, Ireland and Portugal …
Persistent link: https://www.econbiz.de/10010956996
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THE THEORY OF INTERNATIONAL FINANCIAL CONTAGION
LUPU, Iulia - In: Studii Financiare (Financial Studies) 16 (2012) 4, pp. 35-42
Financial contagion is a complex and multivariate process, with no widely accepted definition and an accurate … measurement methodology. Contagion became more and more the central idea of research studies because it is perceived as a problem … this article we intend to present the ways in which the subject of international financial contagion was approached. …
Persistent link: https://www.econbiz.de/10010836982
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Dynamics in the correlations of the Credit Default Swaps’ G14 dealers: Are there any contagion effects due to Lehman Brothers’ bankruptcy and the global financial crisis?
Kazi, Irfan Akbar; Salloy, Suzanne - Institut de Préparation à l'Administration et à la … - 2014
Cappiello, Engle and Sheppard (2006), we examine if there is contagion during the global financial crisis, following Lehman …), but only some banks faced high contagion during the global financial crisis (long term impact). Regulators who try to …
Persistent link: https://www.econbiz.de/10010764048
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Financial contagion and the real economy
Baur, Dirk G. - In: Journal of Banking & Finance 36 (2012) 10, pp. 2680-2692
financial contagion across countries and sectors and finds that the crisis led to an increased co-movement of returns among …
Persistent link: https://www.econbiz.de/10010595301
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Contagion effect due to Lehman Brothers’ bankruptcy and the global financial crisis - From the perspective of the Credit Default Swaps’ G14 dealers
Kazi, Irfan Akbar; Salloy, Suzanne - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2013
Cappiello, Engle and Sheppard (2006), we examine if there is contagion during the global financial crisis, following Lehman …), but only some banks faced high contagion during the global financial crisis (long term impact). Regulators who try to …
Persistent link: https://www.econbiz.de/10010627865