Contagion in the stock markets: the 2007 subprime financial crisis

Selma Jayech, Tarek Sadraoui () and Naceur Ben Zina

International Journal of Managerial and Financial Accounting, 2011, vol. 3, issue 2, 170-187

Abstract: In this article, we test the presence of financial contagion during the subprime mortgage crisis of 2007. For this purpose, we propose a new procedure for testing the non-linearity of the mechanisms of the shock distribution estimated through a model of long-term interdependence. We apply this methodology to the stock markets. Our empirical study shows the contamination of France, Germany, the UK and Japan.

Keywords: subprime financial crisis; financial contagion; nonlinear error correction models; subprime crisis; shock distribution; stock markets; France; Germany; UK; United Kingdom; Japan. (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ids:injmfa:v:3:y:2011:i:2:p:170-187

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