FINANCIAL INTEGRATION AND CONTAGION – DEVELOPMENTS DURING THE LAST THREE DECADES

Filip IORGULESCUAuthor-Email:

Studii si Cercetari de Calcul Economic si Cibernetica Economica Description: This is the official journal of the Journal Studii si Cercetari de Calcul Economic si Cibernetica Economica, 2015, vol. 1-2, 63-75

Abstract: The paper aims to provide an overview of the empirical evidence concerning the interdependence of financial markets and the occurrence of contagion episodes during the 1985-2014 period. The analysis was developed on 10 stock market indices representing some of the most important financial centers in the world. The results indicate a clear upward trend of the average correlation between markets, while interdependence seems to be more powerful at regional levels. On the other hand, contagion episodes mark the development of all the main crises that occurred during the considered time interval. Moreover, contagion does not seem to be affected by the geographical distance between markets, being equally able to spread locally and globally.

Keywords: contagion; interdependence; crisis; correlation; spillover. (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:aes:sccece:v:1-2:y:2015:i::p:63-75

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