Stock market contagion during the global financial crisis: A multiscale approach

Gang-Jin Wang, Chi Xie, Min Lin and H. Eugene Stanley

Finance Research Letters, 2017, vol. 22, issue C, 163-168

Abstract: We propose a multiscale correlation contagion statistic to test for stock market contagion during the global financial crisis (GFC) from the US to the other six G7 and BRIC countries. We find that cross-market correlations between the US and selected countries are conditional on the time scale. Stock market contagion during the GFC is dependent on both the recipient country and the time scale, e.g., contagion from the US to Japan, China, and Brazil occurs when the time scale is longer than 50 days or more. Our findings are important to international investors when they make decisions about global portfolio diversification.

Keywords: Contagion; Stock market; Global financial crisis; Multiscale analysis (search for similar items in EconPapers)
JEL-codes: G01 G15 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (48)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:22:y:2017:i:c:p:163-168

DOI: 10.1016/j.frl.2016.12.025

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