Leitão, João
[VerfasserIn]
;
Lobao, Julio
[Sonstige Person, Familie und Körperschaft];
Rocha Armada, Manuel J.
[Sonstige Person, Familie und Körperschaft]
The Contagion Effects of Financial Crises on Stock Markets of Developed Countries
Beschreibung:
This study makes an innovative approach, since it applies a set of diversified tests, which have not been used on a joint basis until now, in order to study the contagion effects of financial crises in the stock markets of developed countries. This is particularly important due to the fact that existing literature has so far failed to adequately address the effects of financial crisis on the stock markets of developed countries. Several empirical tests are performed on a joint basis: correlation tests, Kolmogorov-Smirnov tests; extreme value tests; and tests based on the estimation of Cointegrated Vector Autoregressive models. Significant evidence on the existence of contagion effects is provided with regards to the Asia crisis, the Russia crisis and the September 11 crisis, as was previously mentioned in literature. On the other hand, limited evidence is detected regarding the contagion effects on Brazil, Argentina and Mexico