Purpose – The purpose of this paper is to investigate empirically contagion channels of the 2007 US subprime financial crisis by employing a multivariate GARCH model for four major, international equity markets, namely the USA, EMU, China and Japan.Design/methodology/approach – In this...

Purpose: This paper aims to investigate the contagion effects of stock and FX markets for the USA and European monetary union (EMU) during the US subprime crisis of 2007-2009.Design/methodology/approach: The data sample is daily comprising a weighted Morgan Stanley Capital Index (MSCI) for US...

This paper examines the effects of the unconventional monetary policy (UMP) launched by the European Central Bank on the cross-market correlations between bond, stock and currency forward markets. Using a dynamic conditional correlation analysis and several robustness tests, we investigate...