This paper examines the contagion of the eurozone debt crisis to developed and emerging stock markets around the world … eurozone debt crisis, this paper finds strong and pervasive evidence of negative contagion from the crisis countries to other … contagion. The impact of equity returns of crisis countries on other equity markets is large and positive during normal times …

fundamentals-based or pure contagion. To do so, we examine the behaviour of EMU sovereign bond yield spreads with respect to the … contagion) and episodes of significantly reduced interconnection (which we associate with immunisation). We then use an ordered … variables proxying market sentiment and of variables proxying macrofundamentals in determining contagion and immunisation …

offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt … period, and the intensification of causality recorded in 70% of the cases, provide clear evidence of contagion in the …