Since the onset of the eurozone sovereign debt crisis, credit risk spreads in Europe have diverged. Despite this divergence, credit risk comoves strongly within certain country groups such as the eurozone periphery. We seek to answer what the determinants of the observed pattern of credit risk...

A stable financial system is a prerequisite for well-functioning market exchanges, which, in turn, allow reaping the benefits of economic specialisation and trade. In many countries around the world, the benefits of modern finance are taken for granted. Financial stability comes to the forefront...

The global financial crisis (2007-2009) saw sharp declines in stock markets around the world, affecting both advanced and emerging markets. In this paper we test for the existence of equity market contagion originating from the US to advanced and emerging markets during the crisis period. Using...

This paper examines the contagion of the eurozone debt crisis to developed and emerging stock markets around the world. Using the VAR methodology, and changes in sovereign bond yields and stock returns of the crisis countries as proxies for the eurozone debt crisis, this paper finds strong and...

This study establishes time-frequency networks of sovereign and bank contagion in the eurozone over the period 2009-2021. By applying discrete wavelet transformation, daily CDS premia of sovereigns and banks are decomposed into multi-horizon components to specify directed and dependence-weighted...

This paper examines transmission of shocks between the U.S. and foreign markets to delineate interdependence from contagion of the U.S. financial crisis by constructing shock models for partially-overlapping and non-overlapping markets. There exists important bi-directional, yet asymmetric,...

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 during the U.S. subprime crisis. We also find...

This study assesses contagion from the USA subprime financial crisis on a large set of frontier stock markets. Copula models were used to investigate the structure of dependence between frontier markets and the USA, before and after the occurrence of the crisis. Statistically significant...

This study applies the asymmetric dynamic conditional correlation (A-DCC) model in order to investigate the correlation dynamics among the Greek market and Eurozone during the recent debt crisis. Moreover, research employs copula functions in order to measure the correlation among Greek and...

We offer a detailed empirical investigation of the European sovereign debt crisis based on the theoretical model by Arghyrou and Tsoukalas (2010). We find evidence of a marked shift in market pricing behaviour from a 'convergence-trade' model before August 2007 to one driven by...