Contagion across US and European financial markets: Evidence from the CDS markets

Nicholas Apergis (), Christina Christou and Iason Kynigakis

Journal of International Money and Finance, 2019, vol. 96, issue C, 1-12

Abstract: This study investigates whether contagion occurred during the recent global financial crisis across European and US financial markets. The methodologies used to test for contagion are based on changes in correlation, coskewness, cokurtosis and covolatility. These tests are applied to a set of bank sector CDS, insurance sector CDS, sovereign bonds, equity and volatility indices. The findings indicate significant evidence of contagion, especially through the channels of higher order moments.

Keywords: Cokurtosis; Correlation; Coskewness; Covolatility; Financial contagion; Financial crisis (search for similar items in EconPapers)
JEL-codes: C58 F36 G01 G15 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (22)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:96:y:2019:i:c:p:1-12

DOI: 10.1016/j.jimonfin.2019.04.006

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