The contagion channels of July–August-2011 stock market crash: A DAG-copula based approach

Selma Jayech

European Journal of Operational Research, 2016, vol. 249, issue 2, 631-646

Abstract: The objective of this paper is to empirically investigate whether there is a contagion phenomenon between the stock markets during the July–August-2011 stock market crash. When there is a market contagion, we will identify the propagation channel through which the crash is transmitted. Hence, after checking if there is financial contagion between the stock markets, we will see if the transmission mechanism “constraints of wealth” outweighs that of the “portfolio rebalancing”. An additional test covering the interdependence between the stock and bond markets during the crash helps us verify whether the transmission is due either to the “cross-market rebalancing” channel or to the “flight to quality” phenomenon.

Keywords: 2011 stock market crash; Financial contagion; Transmission channels; Copula functions; Directed acyclic graph (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (30)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:249:y:2016:i:2:p:631-646

DOI: 10.1016/j.ejor.2015.08.061

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