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 …

of the model to characterize contagion among the ten series. Our procedure allows the country that triggers contagion in … sovereign debt crisis, contagion has played a non-negligible role in the European peripheral countries, which confirms the …

This article attempts to compare conclusions made about market contagion based on the periods indicated by using the … process of contagion in a market. Conclusions about contagion are, however, made at a higher significance level in the case of …

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 …

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

The main objective of this paper is to detect the existence of financial contagion between the North American and … by means of the dynamic conditional correlation model (DCC). Once the DCC is estimated, the contagion between both … related to uncertainty in the markets. The results show that there was contagion between the United States and European …

research not only analyzes the contagion efects of COVID-19 but also considers aftermath events beyond the frst pandemic wave … a few high-contagion periods related to Bitcoin. The paper also found that Bitcoin is more likely to produce extreme … returns and is more connected to other markets. Contagion efects "from" and"to" other markets are asymmetrical in terms of …

the Lehman Brothers in September 2008. We also test for the existence of contagion, and find no significant evidence of … contagion between equity markets in the US and the EMEAP region. On the other hand, intra-regional contagion is found to be more …