The purpose of this study is to investigate whether contagion actually occurred during three well-known financial … Latin American stock markets and US stock market. Defining contagion as a significant increase of dynamic conditional … correlations, we test for contagion by using a difference test for DCC means. The results obtained shows that there is a pure …

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, interdependence and contagion in emerging markets, with important regional … variations. Interdependence is driven more by U.S. shocks, while contagion is driven more by emerging market shocks. Frontier …

generally consistent with findings in the literature on time-varying, asymmetric, and contagion-shift spillovers. The paper also … transmission, and contagion, by specifying alternative models that restrict the mean equation of the GARCH model. The results … about fundamentals; during crises, however, while common information plays a role, market contagion also becomes an …

time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher …

instability could pose a risk of financial contagion to emerging countries. With retrospect to the Kenyan political crisis, our …

examines whether equity markets in emerging countries were vulnerable to contagion during the recent financial meltdown …

-varying multivariate DCC-GARCH model. The findings confirm that certain emerging markets are experiencing contagion from developed markets …

market. We study sovereign credit contagion through the immediate effects of credit events as defined by CDS spread jumps on …” contagion has been primarily a regional phenomenon, however, a global “slow-burn” spillover of credit events was also in force …