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 …

This paper is the first study to examine the financial contagion from the U.S., Japanese and Chinese markets to Asian …, implying the interdependence between these markets. Furthermore, we find significant contagion effects from the U.S. equity … out of 10 Asian emerging markets had experienced the contagion from the U.S. Our findings also suggest that contagion …

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 …

This paper examines the contagion effects of the U.S. subprime crisis on international stock markets using a DCC …-GARCH model on 38 country data. We find evidence of financial contagion not only in emerging markets but also in developed markets …