Contagion in International Stock Markets during the Sub Prime Mortgage Crisis

Hsien-Yi Lee
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Hsien-Yi Lee: Department of Business Administration, Cheng Shiu University, Taiwan

International Journal of Economics and Financial Issues, 2012, vol. 2, issue 1, 41-53

Abstract: The sub prime mortgages crises took place in July, 2007 in US which causes the large scare in the global financial markets, and the international stock and foreign market suffer heavy shock. Using twenty international stock indexes, this study examines whether any contagion effect occurred across international markets after the sub-prime financial mortgage crisis in US. Using the heteroscedasticity biases based on correlation coefficients to examine the existence of the contagion effect, this study shows that stock markets of some countries (namely Hong Kong, Taiwan, Australia and New Zealand) did suffer from the contagion effect.

Keywords: Contagion effect; Sub prime mortgage; Correlation coefficients; Stock markets, Financial crises (search for similar items in EconPapers)
JEL-codes: F21 F32 G15 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2012-01-6

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