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 …

) countries and the United States of America (US). It unfolds their exposure to contagion effects during the major financial … these data to determine the multihorizon nature of comovement (pure contagion or interdependence) and the dynamics of market … pure contagion. Such transmission generated short-term shocks. Most of the earlier shocks, particularly the US subprime and …