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The global financial crisis: World market or regional contagion effects?

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  • Morales, Lucía
  • Andreosso-O'Callaghan, Bernadette

Abstract

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.

Suggested Citation

  • Morales, Lucía & Andreosso-O'Callaghan, Bernadette, 2014. "The global financial crisis: World market or regional contagion effects?," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 108-131.
    • Handle: RePEc:eee:reveco:v:29:y:2014:i:c:p:108-131
    DOI: 10.1016/j.iref.2013.05.010
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    More about this item

    Keywords

    Stock returns; GARCH modelling; Contagion; Interdependence; Volatility spillovers;
    All these keywords.

    JEL classification:

    • F - International Economics
    • G - Financial Economics

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