The current paper studies equity markets for the contagion of squared index returns as a proxy for stock market … squared stock returns of all 35 stock indices studied. Empirical findings show the evidence of contagion during the global … financial crisis (GFC) and Euro Zone crisis (EZC). The intensity of contagion varies depending on its sources. This implies that …

In the contemporary world bustling with global trade, a natural disaster or financial crisis in one country (or region … heteroscedasticity model are employed to compare the contagion effect in the stock markets of the initiating country on other countries …, determining whether economically devastating factors have contagion or spillover effects on other countries. The empirical results …