Economics at your fingertips  

Financial contagion across major stock markets: A study during crisis episodes

Imen BenMim and Ahmed BenSaïda

The North American Journal of Economics and Finance, 2019, vol. 48, issue C, 187-201

Abstract: The recent financial crises have motivated the researchers to study the cross-market linkage, and how shocks are transmitted across countries. Several scholars have studied financial contagion and its different impacts on markets and international portfolios using static models. This paper employs a regular vine copula approach to model the dependence dynamics between major American and European stock markets by distinguishing the effects during crisis periods and tranquility periods. Empirical results show a significant change in the connectedness and shock transmissions during both periods, indicating strong evidence of financial contagion with the Eurozone at its origin. Moreover, the regular vine copula surpasses the multivariate t copula. Hence, the shock transmission path is as important as the dependence itself.

Keywords: Copula; Financial contagion; Multivariate student; Regular vine (search for similar items in EconPapers)
JEL-codes: G15 C34 C58 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
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:

DOI: 10.1016/j.najef.2019.02.005

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 Haili He ().

Page updated 2020-05-02
Handle: RePEc:eee:ecofin:v:48:y:2019:i:c:p:187-201