This study investigates the contagion effects of the 2007-2009 global financial crisis across multiple asset markets and different regions. It uses daily return data of six asset classes: stocks, bonds, commodities, shipping, foreign exchange and real estate. A robust analysis of financial...

This study investigates the contagion effects of the 2007-2009 global financial crisis across multiple asset markets and different regions. It uses daily return data of six asset classes: stocks, bonds, commodities, shipping, foreign exchange and real estate. A robust analysis of financial...

This paper investigates whether cointegration and causality relationships exist among the stock markets of the PIIGS countries (Portugal, Italy, Ireland, Greece and Spain) during the period 2005-2011. To accomplish our objective, we divide the sample period into two sub-periods (1 February...