The global financial crisis: World market or regional contagion effects?

Lucía Morales and Bernadette Andreosso-O'Callaghan

International Review of Economics & Finance, 2014, vol. 29, issue C, 108-131

Abstract: In the last two decades, the world economy has been challenged by different economic and financial crises. These events have captured researchers' attention, and in particular, the analysis of contagion effects derived from stock market shocks has been a focal point of discussions. This paper analyses contagion effects in a worldwide framework using three different econometric models. We do not find significance evidence supporting contagion effects derived from the US stock markets, neither in a worldwide nor in a regional form.

Keywords: Stock returns; GARCH modelling; Contagion; Interdependence; Volatility spillovers (search for similar items in EconPapers)
JEL-codes: F G (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (32)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:29:y:2014:i:c:p:108-131

DOI: 10.1016/j.iref.2013.05.010

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