plunging stock market in the US, in the aftermath of global financial crisis (2007 - 2009), exerts contagion effects on … terms, and time-varying correlations. The empirical analysis shows a contagion effect for Brazil and Mexico during the early …

plunging stock market in the US, in the aftermath of global financial crisis (2007 - 2009), exerts contagion effects on … terms, and time-varying correlations. The empirical analysis shows a contagion effect for Brazil and Mexico during the early …

existence of pure contagion (Masson, 1999) rather than shift-contagion (Rigobon, 2003). Then, we explicitly define financial … “contagion” in accordance with Eichengreen et al. (1996) and we extend the Cerra and Saxena (2002) methodology by using a Markov … subprime crisis. In addition, there is evidence of mean and volatility contagion in MENA stock markets caused by the US stock …

spreads reflect breaks in the instantaneous shock propagation mechanisms between the spreads (contagion), changing dynamical … shock propagation mechanisms is introduced. Our results show that although contagion appears as the single most important …

This paper simultaneously analyzes wake-up-call and pure contagion of sovereign risk in the Eurozone during its recent … financial crisis. Pure contagion of sovereign risk means the transmission of negative effects after a shock to a country which …-up-call contagion is defined as the change of sovereign risk pricing by market participants after negative events in a single country or …

(i.e. tests for shift-contagion) relative to a wide group of other emerging countries for the period 2002:01-2011:10. The … shift contagion tests indicate that the adverse effects of the crisis episodes on Turkish financial markets have been …

of contagion, suggesting strong and sudden increases in the cross-market synchronization of chronologically succeeding … into account, we find no evidence of contagion anymore. …

Dans cet article, nous testons la presence de contagion durant la crise financiere asiatique. A cet effet, nous … le phenomene de contagion. …

developed and emerging economies during the recent sovereign debt crisis. Interdependence and contagion are found on the market … comes from spillovers, (iii) there is a significant time-variation in spillovers, with contagion from distressed countries …

used to establish the time varying linkages in order to verify the contagion effect. In the final step the Markowitz mean …