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

被引：40

作者：

Morales, Lucia ^{[1
]}

Andreosso-O'Callaghan, Bernadette ^{[2
]}

机构：

[1] Dublin Inst Technol, Coll Business, Dept Accounting & Finance, Dublin 2, Ireland

[2] Univ Limerick, Kemmy Business Sch, Dept Econ, Limerick, Ireland

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2014年 / 29卷

关键词：

Stock returns; GARCH modelling; Contagion; Interdependence; Volatility spillovers;

D O I：

10.1016/j.iref.2013.05.010

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2013 Elsevier Inc. All rights reserved.

引用

页码：108 / 131

页数：24

共 29 条

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