EconPapers    
Economics at your fingertips  
 

The Contagion Effects of Financial Crisis on Stock Markets: What Can We Learn From a Cointegrated Vector Autoregressive Approach for Developed Countries?

Manuel J. Rocha Armada, João Leitão () and Júlio Lobão
Additional contact information
Manuel J. Rocha Armada: University of Minho, Braga, Portugal
Júlio Lobão: University of Porto, Porto, Portugal

Remef - The Mexican Journal of Economics and Finance, 2012

Abstract: Abstract This research applies a set of diversified tests that have not been used on a joint basis to study the contagion effects of financial crises in the stock markets of developed countries. This is particularly important due to the fact that the existing literature has, so far, failed to adequately address the effects of financial crisis on such markets. Several empirical tests are performed on a joint basis: correlation tests; Kolmogorov-Smirnov tests; extreme value tests; and tests based on the estimation of Cointegrated Vector Autoregressive models. Significant evidence on the existence of contagion effects is provided with regards to the Asia crisis, the Russia crisis and the September 11 crisis. Finally, limited evidence is detected regarding the contagion effects on Brazil, Argentina and Mexico crisis. Resumen Esta investigación aplica un conjunto de pruebas diversificadas que no se han utilizado en forma conjunta para estudiar los efectos de contagio de las crisis financieras en los mercados bursátiles de los países desarrollados. Esto es particularmente importante debido al hecho de que en la literatura existente no se abordan adecuadamente los efectos de las crisis financieras en dichos mercados. Se realizan varias pruebas empíricas en forma conjunta: pruebas de correlación; de Kolmogorov-Smirnov; de valor extremo; y las pruebas basadas en la estimación de modelos de vectores autorregresivos cointegrados. Se muestra evidencia significativa de efectos de contagio durante la crisis asiática, la crisis de Rusia y la crisis del 11 de Septiembre. Por último, los efectos de contagio encontrados durante las crisis en Brasil, Argentina y México son limitados.

Date: 2012-10
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.remef.org.mx/c/images/uploads/documentos/19/articulo_manuel_rocha.pdf

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:imx:journl:20121019

Access Statistics for this article

More articles in Remef - The Mexican Journal of Economics and Finance from Instituto Mexicano de Ejecutivos de Finanzas. Remef
Series data maintained by Beatriz Romero ().

 
Page updated 2017-09-29
Handle: RePEc:imx:journl:20121019