EconPapers    
Economics at your fingertips  
 

European Equity Market Contagion: An Empirical Application to Ireland's Sovereign Debt Crisis

Shaen Corbet () and Cian Twomey ()

European Financial and Accounting Journal, 2015, vol. 2015, issue 3, 15-34

Abstract: This paper examines the time-varying conditional correlations of daily European equity market returns during the Irish sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the collapse of Irish equity markets and subsequent troika intervention in Ireland spilled over upon European equity markets during this crisis. During the Irish financial crisis from 2007 to 2010, strong contagion effects are uncovered between Irish equity markets and the investigated European equity markets. The contagion effects are found to ease dramatically in the period after troika intervention in Irish finances. This result supports the use of bailouts and external financial intervention as a mechanism to mitigate and absorb contagion associated with state-specific financial crises and if possible, should be considered as a primary response function in future cases of sovereign debt crisis.

Keywords: Bailouts; Contagion; DCC GARCH; Dynamic correlation; Equity markets; Financial crises (search for similar items in EconPapers)
JEL-codes: G01 G12 G15 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://efaj.vse.cz/doi/10.18267/j.efaj.143.html (text/html)
http://efaj.vse.cz/doi/10.18267/j.efaj.143.pdf (application/pdf)
free of charge

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:prg:jnlefa:v:2015:y:2015:i:3:id:143:p:15-34

Ordering information: This journal article can be ordered from
European Financial and Accounting Journal, University of Economics, Prague, nám. W. Churchilla 4, 130 67 Prague 3, Czech Republic
http://efaj.vse.cz

DOI: 10.18267/j.efaj.143

Access Statistics for this article

European Financial and Accounting Journal is currently edited by Efaj Journal

More articles in European Financial and Accounting Journal from Prague University of Economics and Business Contact information at EDIRC.
Bibliographic data for series maintained by Stanislav Vojir ().

 
Page updated 2022-01-10
Handle: RePEc:prg:jnlefa:v:2015:y:2015:i:3:id:143:p:15-34