Contagion Effects of the Subprime Crisis in the European NYSE-Euronext Markets

Isabel Vieira ()

CEFAGE-UE Working Papers from University of Evora, CEFAGE-UE (Portugal)

Abstract: This paper presents three tests of contagion of the US subprime crisis to the European markets of the NYSE-Euronext group. Copula models are used to analyse dependence structures between the USÂ’s and the other markets in the sample, in the pre-crisis and in the subprime crisis periods. The first test assesses the existence of contagion on the relevant marketsÂ’ indices, the second checks the homogeneity of contagion intensities, and the third compares contagion in financial and in industrial sectorsÂ’ indices. Results suggest that contagion exists, and is equally felt, in most markets and that investors anticipated a spreading of the financial crisis to the real economy, long before such dissemination was observable.

Keywords: Financial contagion; subprime crisis; stock markets; copula theory. (search for similar items in EconPapers)
JEL-codes: F30 G14 G15 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2009
New Economics Papers: this item is included in nep-ure
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Citations: View citations in EconPapers (10)

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Journal Article: Contagion effects of the subprime crisis in the European NYSE Euronext markets (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:cfe:wpcefa:2009_01

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