Economics at your fingertips  

Financial contagion across G10 stock markets: A study during major crises

Ahmed BenSaïda and Houda Litimi

International Journal of Finance & Economics, 2021, vol. 26, issue 3, 4798-4821

Abstract: The multiple financial crises that occurred during the last two decades have stimulated scholars to investigate the cross‐market linkages and how shocks are transmitted across borders. Researchers usually examine financial contagion and its effects during a single period of study based on static models. This paper employs a regular vine copula specification to model the dependence dynamics across the G10 stock markets, by analysing the impacts during tranquillity periods and during each crisis episode studied apart. Empirical findings show significant differences in the connectedness, with distinctive shock transmission paths during every sub‐period. The results suggest a strong evidence of contagion during the global financial crisis and the European sovereign debt crisis. However, during the market downturn of 2002, there was no significant contagion due to the lack of market integration then. Besides, in the aftermath of the Brexit vote, Eurozone members took measures to reduce possible shock transmission and eliminate contagion.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)

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:

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

Page updated 2021-07-31
Handle: RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4798-4821