Financial contagion in the subprime crisis context: A copula approach

Imen Zorgati, Faten Lakhal and Elmoez Zaabi

The North American Journal of Economics and Finance, 2019, vol. 47, issue C, 269-282

Abstract: This paper investigates the financial contagion phenomenon and its intensity in the context of the subprime crisis by adopting the copulas approach. The wavelet technique is used to predict the accurate occurrence of the subprime crisis. To estimate the parameters of the different copulas, we use the canonical maximum likelihood method (CML). Based on the daily returns of stock market indices of five American countries (Brazil, Argentina, Mexico, Canada and the USA) and nine Asian countries (Japan, Hong Kong, India, Australia, Indonesia, Malaysia, Korea, China and Singapore) from 01/01/2003 to 30/12/2011, our results show that the contagion effect exists for all American markets as well as the Indian, Australian, Indonesian, Malaysian, Chinese and Singaporean ones. The findings also show that American markets record high levels of contagion intensity in comparison to their Asian counterparts. This study also confirms the contagious nature of the subprime crisis between USA and both American and Asian countries.

Keywords: Contagion; Intensity; CML; Copula; Subprime crisis (search for similar items in EconPapers)
JEL-codes: C13 C58 G01 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940818302389
Full text for ScienceDirect subscribers only

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:eee:ecofin:v:47:y:2019:i:c:p:269-282

DOI: 10.1016/j.najef.2018.11.014

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().