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...

In our network analysis of 40 developed, emerging and frontier stock markets during 2006-2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...

This paper uses the novel quantile coherency approach to examine the tail dependence network of 49 international stock markets in the frequency domain. We find that geographical proximity and state of market development are important factors in stock markets networks. Both the short- and...

Financial market volatility is an important element when setting up port- folio management strategies, option pricing and market regulation. The Subprime crisis affected all markets around the world. Daily data of twelve stock indexes for the period of October 1999 to June 2011 are studied using...

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 returns are followed by higher co-exceedance between U.S....

We examine time-varying stock market comovements in Central Europe employing the asymmetric dynamic conditional correlation multivariate GARCH model. Using daily data from 2001 to 2011, we find that the correlations among stock markets in Central Europe and between Central Europe vis-a-vis the...

In this paper, we investigate whether the recent financial turmoil which arose in the United States has contaminated the Middle East and North African countries (MENA). In contrast to Lagoard-Segot and Lucey (2009), we try to identify the existence of pure contagion (Masson, 1999) rather than...

This paper explores the stock market interlinkages between the United States and Romania during the actual financial crisis. For this purpose we analyze, in a Vector Autoregressive framework, daily values of Dow Jones and BET, being two reference indexes for the US and the Romanian Stock...