In this paper we investigate the contagion effect between stock markets of U.S and sixteen OECD countries due to Global …-2009). In order to recognize the contagion effect, we test whether the mean of the DCC coefficients in crisis period differs … OECD stock markets under study during the crisis period for most of the countries. This proves the existence of contagion …

This paper employs an Extreme Value Theory framework to investigate the existence of contagion between European and US … finding market-based indicators in order to analyze the effects of crises and to quantify the risk of contagion. The Distance … coexceedances allows to interpret significant coefficients of foreign lagged coexceedances as contagion. The main finding is that …

financial sector and factors that explain why these strains lead to system-wide contagion and a possible credit crunch. Most of … that a financial crisis with its contagion within the system is caused by failures of legal, regulatory and political … crises would be reduced if appropriate institutions could be put in place Lacking appropriate institutions to avoid contagion …