EconPapers    
Economics at your fingertips  
 

A Dynamic Correlation Analysis of Financial Contagion: Evidence from the Eurozone Stock Markets

Mohamed Ali Trabelsi () and Salma Hmida

MPRA Paper from University Library of Munich, Germany

Abstract: The contagion generated by the US subprime crisis and the European sovereign debt crisis that hit the Eurozone stock markets is still a highly debated subject. In this paper, we try to determine whether there are contagion effects across the Greek stock market and the Belgian, French, Portuguese, Irish, Italian and Spanish stock markets during both crises periods. To this end, we used a bivariate DCC-GARCH model to measure the extent of dynamic correlations between stock returns of our sample. Our results point to the presence of a contagion effect between all market pairs during the subprime crisis and between the Greek and Portuguese stock markets during the European sovereign debt crisis. On the other hand, our results indicate that credit ratings revisions have a relatively limited effect on the dynamic correlations of the Eurozone stock markets.

Keywords: Financial contagion; European debt crisis; Dynamic conditional correlations (search for similar items in EconPapers)
JEL-codes: C22 G01 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn, nep-eec, nep-ets and nep-fmk
Date: 2017, Revised 2017
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)
https://mpra.ub.uni-muenchen.de/83718/1/MPRA_paper_83718.pdf original version (application/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:pra:mprapa:83718

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

 
Page updated 2019-10-16
Handle: RePEc:pra:mprapa:83718