U.S. subprime financial crisis contagion on BRIC and European Union stock markets
نویسندگان
چکیده
منابع مشابه
The subprime credit crisis and contagion in financial markets
I conduct an empirical investigation into the pricing of subprime asset-backed collateralized debt obligations (CDOs) and their contagion effects on other markets. Using data for the ABX subprime indexes, I find strong evidence of contagion in the financial markets. The results support the hypothesis that financial contagion was propagated primarily through liquidity and risk-premium channels, ...
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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 US’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 markets’ indices, the second checks the hom...
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us 2008 financial crisis, spreaded out across the international stock markets in the second half of the year 2008. the crisis decreased the returns and increased the volatilities of almost all of the stock indices, however, its effects on iran’s stock markets were unexplored. financial limitations create an exclusive situation in iran’s stock market. using weekly data on the stock indices from ...
متن کاملQuantitative measurement of the contagion effect between US and Chinese stock market during the financial crisis
In this paper, we study the quantitative measurement of contagion effect between US and Chinese stock market during the financial crisis by combining multifractal volatility (MFV) with the copula method. At first, we employ MFV to filter volatility of the twomarkets due to the existence of heteroskedasticity. Thenwe use an improved time-varying Clayton copula to estimate the dynamic lower tail ...
متن کاملWho has more influence on Asian stock markets around the subprime mortgage crisis – the US or China?
Who has more influence on Asian stock markets around the subprime mortgage crisis – the US or China? Chien-Chung Nieh , Chao-Hsiang Yang & Yu-Sheng Kao To cite this article: Chien-Chung Nieh , Chao-Hsiang Yang & Yu-Sheng Kao (2012) Who has more influence on Asian stock markets around the subprime mortgage crisis – the US or China?, Applied Economics Letters, 19:4, 329-335, DOI: 10.1080/13504851...
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ژورنال
عنوان ژورنال: Revista de Administração
سال: 2015
ISSN: 0080-2107,1984-6142
DOI: 10.5700/rausp1196