TY - JOUR
T1 - The global financial crisis
T2 - World market or regional contagion effects?
AU - Morales, Lucía
AU - Andreosso-O'Callaghan, Bernadette
PY - 2014/1
Y1 - 2014/1
N2 - In the last two decades, the world economy has been challenged by different economic and financial crises. These events have captured researchers' attention, and in particular, the analysis of contagion effects derived from stock market shocks has been a focal point of discussions. This paper analyses contagion effects in a worldwide framework using three different econometric models. We do not find significance evidence supporting contagion effects derived from the US stock markets, neither in a worldwide nor in a regional form.
AB - In the last two decades, the world economy has been challenged by different economic and financial crises. These events have captured researchers' attention, and in particular, the analysis of contagion effects derived from stock market shocks has been a focal point of discussions. This paper analyses contagion effects in a worldwide framework using three different econometric models. We do not find significance evidence supporting contagion effects derived from the US stock markets, neither in a worldwide nor in a regional form.
KW - Contagion
KW - F
KW - G
KW - GARCH modelling
KW - Interdependence
KW - Stock returns
KW - Volatility spillovers
UR - http://www.scopus.com/inward/record.url?scp=84888303248&partnerID=8YFLogxK
U2 - 10.1016/j.iref.2013.05.010
DO - 10.1016/j.iref.2013.05.010
M3 - Article
AN - SCOPUS:84888303248
SN - 1059-0560
VL - 29
SP - 108
EP - 131
JO - International Review of Economics and Finance
JF - International Review of Economics and Finance
ER -
