The financial contagion effects of the subprime crisis on BRIC countries

Mourad Hmida

International Journal of Managerial and Financial Accounting, 2014, vol. 6, issue 3, 175-188

Abstract: The objective of this study is to test the presence of the contagion phenomenon during the US subprime crisis. We adopt the test of adjusted correlation coefficients between markets and propose a new procedure that involves testing the non-linearity of the propagation mechanism shocks, estimated with a model of long-term interdependence. We apply this methodology to the financial markets which measure the risk perception. Our results prove the existence of some cases of the contagion phenomenon between the financial markets of the USA, Brazil, Russia, India and China during the current crisis.

Keywords: subprime crisis; financial crisis; financial contagion; BRIC countries; correlation; nonlinear error correction models; propagation mechanism shocks; long-term interdependence; risk perception; financial markets; USA; United States; Brazil; Russia; India; China. (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ids:injmfa:v:6:y:2014:i:3:p:175-188

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