Transmission of the 2010 Greek sovereign debt crisis to Asia-Pacific stock markets: a copula-based approach

Salma Jayech and Emna Abdennadher

International Journal of Economics and Business Research, 2024, vol. 27, issue 1, 23-43

Abstract: The objective of this paper is to detect the contagion effect of the 2010 sovereign debt crisis in the euro area on the stock markets of 12 countries in Asia-Pacific. We have used a new approach based on the copula theory. The obtained results show the transmission of this crisis by pure contagion of the American index to the share indices of Australia, Hong Kong, the Philippines, Singapore and Taiwan, which is not the case for the Greek share index where we have noticed the existence of a strong interdependence between markets after the crisis, and not a contagion. Contagion has fundamental importance in the financial markets because of these consequences on the global economy in terms of monetary policy, international diversification, risk measurement and assets valuation.

Keywords: Greek sovereign debt crisis; Financial contagion; Asia-Pacific stock markets; Copula theory. (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=136154 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:ijecbr:v:27:y:2024:i:1:p:23-43

Access Statistics for this article

More articles in International Journal of Economics and Business Research from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().