Please use this identifier to cite or link to this item:

Title: Contagion effects of the subprime crisis in the European NYSE Euronext markets
Authors: Horta, Paulo
Mendes, Carlos
Vieira, Isabel
Keywords: Financial contagion
Subprime crisis
Stock mark
Issue Date: 2010
Citation: Horta, Paulo; Mendes, Carlos; Vieira, Isabel. Contagion effects of the subprime crisis in the European NYSE Euronext markets, Portuguese Economic Journal, 9, 2, 115-140, 2010.
Abstract: This paper presents three tests of contagion of theUS subprime crisis to the European stock markets of the NYSE Euronext group. Copula models are used to analyse dependence structures between the US and the other stock 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 stock markets’ indices, the second checks the homogeneity of contagion intensities, and the third compares contagion in financial and in industrial sectors’ indices. Results suggest that contagion exists, and is equally felt, in most stock markets and that investors anticipated a spreading of the financial crisis to the indices of industrial sectors, long before such dissemination was observable in the real economy.
Type: article
Appears in Collections:CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica

Files in This Item:

File Description SizeFormat
fulltext.pdf847.11 kBAdobe PDFView/Open
FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpaceOrkut
Formato BibTex mendeley Endnote Logotipo do DeGóis 

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.


Dspace Dspace
DSpace Software, version 1.6.2 Copyright © 2002-2008 MIT and Hewlett-Packard - Feedback
UEvora B-On Curriculum DeGois