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 …

This paper tests the existence of financial contagion between US and Latin America stock markets based on the analysis … procedure to examine the potential channels of financial contagion effects on emerging stock markets. The empirical results … markets are significantly affected by the contagion effects from the global financial crisis. However, Argentina stock market …

implying “macro-financial” contagion. The crisis-specific analysis of macro-financial linkages broadens the perspective of … existing studies of financial contagion. Our findings indicate that the stock market does not merely reflect future economic …

We examine whether contagion tests are affected by controls for volatility clustering and the collection of …

with contagion and spillover effects. We employ a trivariate asymmetric BEKK-type GARCH-in-Mean (MGARCH-M) approach to … markets. We find empirical evidence of contagion effect and spillovers between stock market and foreign exchange market during …

This paper contributes to the literature on international stock market comovements and contagion. The novelty of our … lower contagion between the CEE markets and the German DAX after the large 2008 stock market crash. …

impacted by the financial crisis in terms of contagion in leverage with implications for portfolio diversification. Our …

Co-movements in equity markets may reflect either financial contagion or stock market integration. While the former …