IDEAS home Printed from https://ideas.repec.org/r/ems/eureri/13835.html
   My bibliography  Save this item

Contagion as Domino Effect in Global Stock Markets

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Hummaira Jabeen, 2022. "Monetary Policy Shock Transmission in Emerging Markets," Journal of Policy Research (JPR), Research Foundation for Humanity (RFH), vol. 8(4), pages 379-390, December.
  2. Arouri, Mohamed El Hedi & Hammoudeh, Shawkat & Lahiani, Amine & Nguyen, Duc Khuong, 2013. "On the short- and long-run efficiency of energy and precious metal markets," Energy Economics, Elsevier, vol. 40(C), pages 832-844.
  3. Apostolos Thomadakis, 2012. "Measuring Financial Contagion with Extreme Coexceedances," School of Economics Discussion Papers 1112, School of Economics, University of Surrey.
  4. Fischer, Justina A.V., 2012. "Globalization and Political Trust," Papers 285, World Trade Institute.
  5. Kang, Sanghoon & Hernandez, Jose Arreola & Sadorsky, Perry & McIver, Ronald, 2021. "Frequency spillovers, connectedness, and the hedging effectiveness of oil and gold for US sector ETFs," Energy Economics, Elsevier, vol. 99(C).
  6. Dimic, Nebojsa & Piljak, Vanja & Swinkels, Laurens & Vulanovic, Milos, 2021. "The structure and degree of dependence in government bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  7. Bredin, Don & Hyde, Stuart, 2011. "Investigating sources of unanticipated exposure in industry stock returns," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1128-1142, May.
  8. Cerqueti, Roy & Costantini, Mauro, 2011. "Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2598-2605, October.
  9. Baur, Dirk G. & McDermott, Thomas K., 2010. "Is gold a safe haven? International evidence," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1886-1898, August.
  10. V. Rasskazov E. & В. Рассказов Е., 2016. "Эволюция Эффекта Финансового Заражения В Еврозоне В Период Долгового Кризиса // Evolution Of Financial Contagion In The Context Of The European Debt Crisis," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 20(2), pages 99-105.
  11. Gomis-Porqueras, Pedro & Shi, Shuping & Tan, David, 2022. "Gold as a financial instrument," Journal of Commodity Markets, Elsevier, vol. 27(C).
  12. Mohamed Arouri & Duc Khuong Nguyen & Kuntara Pukthuanthong, 2014. "Diversification benefits and strategic portfolio allocation across asset classes: The case of the US markets," Working Papers 2014-294, Department of Research, Ipag Business School.
  13. Sensoy, Ahmet & Hacihasanoglu, Erk & Nguyen, Duc Khuong, 2015. "Dynamic convergence of commodity futures: Not all types of commodities are alike," Resources Policy, Elsevier, vol. 44(C), pages 150-160.
  14. Berger, Dave & Pukthuanthong, Kuntara, 2012. "Market fragility and international market crashes," Journal of Financial Economics, Elsevier, vol. 105(3), pages 565-580.
  15. Bandyopadhyay, Satiprasad & Jha, Ranjini & Kennedy, Duane, 2017. "The effect of the US subprime crisis on Canadian banks," Advances in accounting, Elsevier, vol. 36(C), pages 58-74.
  16. Molina-Muñoz, Jesús & Mora-Valencia, Andrés & Perote, Javier, 2020. "Market-crash forecasting based on the dynamics of the alpha-stable distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
  17. Andreas Chouliaras & Theoharry Grammatikos, 2017. "Extreme Returns in the European financial crisis," European Financial Management, European Financial Management Association, vol. 23(4), pages 728-760, September.
  18. Patrick Konermann & Christoph Meinerding & Olga Sedova, 2013. "Asset allocation in markets with contagion: The interplay between volatilities, jump intensities, and correlations," Review of Financial Economics, John Wiley & Sons, vol. 22(1), pages 36-46, January.
  19. Dungey, Mardi & Milunovich, George & Thorp, Susan, 2010. "Unobservable shocks as carriers of contagion," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1008-1021, May.
  20. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2012. "International diversification: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 871-885.
  21. Brück, Florian & Fermanian, Jean-David & Min, Aleksey, 2023. "A corrected Clarke test for model selection and beyond," Journal of Econometrics, Elsevier, vol. 235(1), pages 105-132.
  22. Li, Chong, 2017. "Log-periodic view on critical dates of the Chinese stock market bubbles," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 305-311.
  23. EnDer Su, 2021. "Testing stock market contagion properties between large and small stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 57(1), pages 147-202, July.
  24. Boubaker, Sabri & Karim, Sitara & Naeem, Muhammad Abubakr & Sharma, Gagan Deep, 2023. "Financial markets, energy shocks, and extreme volatility spillovers," Energy Economics, Elsevier, vol. 126(C).
  25. Takashi Miyazaki & Shigeyuki Hamori, 2018. "The Determinants Of A Simultaneous Crash In Gold And Stock Markets: An Ordered Logit Approach," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 1-25, March.
  26. Mistrulli, Paolo Emilio, 2011. "Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1114-1127, May.
  27. Diego A. Agudelo & Daimer J. Múnera, 2016. "Are foreigners the vectors of Contagion? A study of six emerging markets," Documentos de Trabajo de Valor Público 16989, Universidad EAFIT.
  28. Agudelo, Diego A. & Múnera, Daimer J., 2023. "Who are the vectors of contagion? Evidence from emerging markets," International Review of Financial Analysis, Elsevier, vol. 87(C).
  29. Fuchun Li & Hui Zhu, 2014. "Testing for financial contagion based on a nonparametric measure of the cross‐market correlation," Review of Financial Economics, John Wiley & Sons, vol. 23(3), pages 141-147, September.
  30. Khalfaoui, Rabeh & Tiwari, Aviral Kumar & Kablan, Sandrine & Hammoudeh, Shawkat, 2021. "Interdependence and lead-lag relationships between the oil price and metal markets: Fresh insights from the wavelet and quantile coherency approaches," Energy Economics, Elsevier, vol. 101(C).
  31. Kiss, Gábor Dávid & Kosztopulosz, Andreász, 2012. "The impact of the crisis on the monetary autonomy of Central and Eastern European countries," Public Finance Quarterly, Corvinus University of Budapest, vol. 57(1), pages 28-52.
  32. Fischer, Justina A.V., 2012. "The choice of domestic policies in a globalized economy," Papers 306, World Trade Institute.
  33. Christiansen, Charlotte, 2014. "Classifying returns as extreme: European stock and bond markets," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 1-4.
  34. Yousaf, Imran & Beljid, Makram & Chaibi, Anis & Ajlouni, Ahmed AL, 2022. "Do volatility spillover and hedging among GCC stock markets and global factors vary from normal to turbulent periods? Evidence from the global financial crisis and Covid-19 pandemic crisis," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
  35. Brée, David S. & Joseph, Nathan Lael, 2013. "Testing for financial crashes using the Log Periodic Power Law model," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 287-297.
  36. Dragan Tevdovski & Viktor Stojkoski, 2021. "What is Behind Extreme Negative Returns co-movement in the South Eastern European Stock Markets?," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 68(1), pages 43-61, March.
  37. Abubakar Jamaladeen & David E. Omoregie & Samuel F. Onipede & Nafiu A. Bashir, 2022. "A regime-switching skew-normal model of contagion in some selected stock markets," SN Business & Economics, Springer, vol. 2(12), pages 1-20, December.
  38. Erniel B. Barrios & Paolo Victor T. Redondo, 2024. "Nonparametric Test for Volatility in Clustered Multiple Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 63(2), pages 861-876, February.
  39. Liu, Jing & Ma, Feng & Zhang, Yaojie, 2019. "Forecasting the Chinese stock volatility across global stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 466-477.
  40. Corbet, Shaen & Efthymiou, Marina & Lucey, Brian & O'Connell, John F., 2021. "When lightning strikes twice: The tragedy-induced demise and attempted corporate resuscitation of Malaysia airlines," Annals of Tourism Research, Elsevier, vol. 87(C).
  41. Mansor H. Ibrahim, 2012. "Financial market risk and gold investment in an emerging market: the case of Malaysia," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, vol. 5(1), pages 25-34, March.
  42. Arouri, Mohamed El Hedi & Hammoudeh, Shawkat & Lahiani, Amine & Nguyen, Duc Khuong, 2012. "Long memory and structural breaks in modeling the return and volatility dynamics of precious metals," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(2), pages 207-218.
  43. Pedro Raffy Vartanian, 2020. "Volatility transmission between commodities and Ibovespa in the period 2000–2016: Is there a possibility of diversification?," International Economics and Economic Policy, Springer, vol. 17(2), pages 483-501, May.
  44. Guidolin, Massimo & Pedio, Manuela, 2017. "Identifying and measuring the contagion channels at work in the European financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 117-134.
  45. Bekiros, Stelios & Nguyen, Duc Khuong & Uddin, Gazi Salah & Sjö, Bo, 2016. "On the time scale behavior of equity-commodity links: Implications for portfolio management," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 30-46.
  46. Liu, Hsiang-Hsi & Wang, Teng-Kun & Li, Weny, 2019. "Dynamical Volatility and Correlation among US Stock and Treasury Bond Cash and Futures Markets in Presence of Financial Crisis: A Copula Approach," Research in International Business and Finance, Elsevier, vol. 48(C), pages 381-396.
  47. Maria Kasch & Massimiliano Caporin, 2013. "Volatility Threshold Dynamic Conditional Correlations: An International Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 11(4), pages 706-742, September.
  48. Imen Bedoui-Belghith & Slaheddine Hallara & Faouzi Jilani, 2023. "Crisis transmission degree measurement under crisis propagation model," SN Business & Economics, Springer, vol. 3(1), pages 1-27, January.
  49. Yoon, Seong-Min & Al Mamun, Md & Uddin, Gazi Salah & Kang, Sang Hoon, 2019. "Network connectedness and net spillover between financial and commodity markets," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 801-818.
  50. Martín-Barragán, Belén & Ramos, Sofia B. & Veiga, Helena, 2015. "Correlations between oil and stock markets: A wavelet-based approach," Economic Modelling, Elsevier, vol. 50(C), pages 212-227.
  51. Esaka, Taro, 2010. "De facto exchange rate regimes and currency crises: Are pegged regimes with capital account liberalization really more prone to speculative attacks?," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1109-1128, June.
  52. Baur, Dirk G., 2012. "Financial contagion and the real economy," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2680-2692.
  53. Mensi, Walid & Hammoudeh, Shawkat & Rehman, Mobeen Ur & Al-Maadid, Alanoud Ali S. & Hoon Kang, Sang, 2020. "Dynamic risk spillovers and portfolio risk management between precious metals and global foreign exchange markets," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  54. Apergis, Nicholas & Chatziantoniou, Ioannis & Cooray, Arusha, 2020. "Monetary policy and commodity markets: Unconventional versus conventional impact and the role of economic uncertainty," International Review of Financial Analysis, Elsevier, vol. 71(C).
  55. Al-Yahyaee, Khamis Hamed & Mensi, Walid & Sensoy, Ahmet & Kang, Sang Hoon, 2019. "Energy, precious metals, and GCC stock markets: Is there any risk spillover?," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 45-70.
  56. Szymon Okoń, 2012. "New Approach to Remuneration Policy for Investment Firms: a Polish Capital Market Perspective," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 6(1), March.
  57. Li, Fuchun & Zhu, Hui, 2014. "Testing for financial contagion based on a nonparametric measure of the cross-market correlation," Review of Financial Economics, Elsevier, vol. 23(3), pages 141-147.
  58. Reboredo, Juan C., 2012. "Modelling oil price and exchange rate co-movements," Journal of Policy Modeling, Elsevier, vol. 34(3), pages 419-440.
  59. Xing, Dun-Zhong & Li, Hai-Feng & Li, Jiang-Cheng & Long, Chao, 2021. "Forecasting price of financial market crash via a new nonlinear potential GARCH model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
  60. Evrim Mandacı, Pınar & Cagli, Efe Çaglar & Taşkın, Dilvin, 2020. "Dynamic connectedness and portfolio strategies: Energy and metal markets," Resources Policy, Elsevier, vol. 68(C).
  61. Jian, Zhihong & Li, Xupei, 2021. "Skewness-based market integration: A systemic risk measure across international equity markets," International Review of Financial Analysis, Elsevier, vol. 74(C).
  62. Garcia, René & Tsafack, Georges, 2011. "Dependence structure and extreme comovements in international equity and bond markets," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1954-1970, August.
  63. Rafał SIEDLECKI & Daniel PAPLA, 2016. "Conditional Correlation Coefficient As A Tool For Analysis Of Contagion In Financial Markets And Real Economy Indexes Based On The Synthetic Ratio," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(4), pages 287-299.
  64. Sensoy, Ahmet, 2013. "Dynamic relationship between precious metals," Resources Policy, Elsevier, vol. 38(4), pages 504-511.
  65. V. Rasskazov E. & В. Рассказов Е., 2016. "Измерение Финансового Заражения На Примере Моделирования Риска Банковского Дефолта // The Methodology For Measuring Financial Contagion: The Case Study Of Bank Default Risk Simulation," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 20(3), pages 54-61.
  66. Trabelsi, Nader, 2017. "Asymmetric tail dependence between oil price shocks and sectors of Saudi Arabia System," The Journal of Economic Asymmetries, Elsevier, vol. 16(C), pages 26-41.
  67. Ioana Moldovan & Claudia Medrega, 2011. "Correlation of International Stock Markets Before and During the Subprime Crisis," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 14(40), pages 173-193, June.
  68. Sandoval Paucar, Giovanny, 2018. "Efectos de desbordamiento sobre los mercados financieros de Colombia. Identificación a través de la heterocedasticidad [Spillovers effects on financial markets of Colombia. Identification through h," MPRA Paper 90422, University Library of Munich, Germany.
  69. Lei Wu & Qingbin Meng & Kuan Xu, 2015. "'Slow-burn' spillover and 'fast and furious' contagion: a study of international stock markets," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 933-958, June.
  70. Salah Uddin, Gazi & Lucey, Brian & Rahman, Md Lutfur & Stenvall, David, 2024. "Quantile coherency across bonds, commodities, currencies, and equities," Journal of Commodity Markets, Elsevier, vol. 33(C).
  71. Mink, Mark, 2015. "Measuring stock market contagion: Local or common currency returns?," Emerging Markets Review, Elsevier, vol. 22(C), pages 18-24.
  72. Chouliaras, Andreas & Grammatikos, Theoharry, 2013. "News Flow, Web Attention and Extreme Returns in the European Financial Crisis," MPRA Paper 51335, University Library of Munich, Germany.
  73. Wan, Li & Han, Liyan & Xu, Yang & Matousek, Roman, 2021. "Dynamic linkage between the Chinese and global stock markets: A normal mixture approach," Emerging Markets Review, Elsevier, vol. 49(C).
  74. Omar, Ayman M.A. & Wisniewski, Tomasz Piotr & Nolte, Sandra, 2017. "Diversifying away the risk of war and cross-border political crisis," Energy Economics, Elsevier, vol. 64(C), pages 494-510.
  75. Sulejmani Artan & Tevdovski Dragan, 2022. "How the Contagion is Transmitted to the Macedonian Stock Market? an Analysis of Co-Exceedances," South East European Journal of Economics and Business, Sciendo, vol. 17(1), pages 1-13, June.
  76. Koch, Nicolas, 2014. "Tail events: A new approach to understanding extreme energy commodity prices," Energy Economics, Elsevier, vol. 43(C), pages 195-205.
  77. Anika Sedyaning Wikanti, 2011. "Contagion effects of us financial crisis on Indonesia," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 3(2), pages 125-137, April.
  78. George S. Atsalakis & Eftychios E. Protopapadakis & Kimon P. Valavanis, 2016. "Stock trend forecasting in turbulent market periods using neuro-fuzzy systems," Operational Research, Springer, vol. 16(2), pages 245-269, July.
  79. Ioana MOLDOVAN, 2011. "Stock Markets Correlation: before and during the Crisis Analysis," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(8(561)), pages 111-122, August.
  80. Jian, Zhihong & Lu, Haisong & Zhu, Zhican & Xu, Huiling, 2023. "Frequency heterogeneity of tail connectedness: Evidence from global stock markets," Economic Modelling, Elsevier, vol. 125(C).
  81. Corbet, Shaen & Larkin, Charles & McMullan, Caroline, 2018. "Chemical industry disasters and the sectoral transmission of financial market contagion," Research in International Business and Finance, Elsevier, vol. 46(C), pages 490-501.
  82. Berger, Dave & Pukthuanthong, Kuntara, 2016. "Fragility, stress, and market returns," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 152-163.
  83. Buch, Claudia M. & Neugebauer, Katja, 2011. "Bank-specific shocks and the real economy," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2179-2187, August.
  84. Štefan Lyócsa & Roman Horváth, 2018. "Stock Market Contagion: a New Approach," Open Economies Review, Springer, vol. 29(3), pages 547-577, July.
  85. Ellul, Reuben, 2015. "Analysing correlation between the MSE index and global stock markets," MPRA Paper 72464, University Library of Munich, Germany.
  86. Chiang, Thomas C. & Zheng, Dazhi, 2010. "An empirical analysis of herd behavior in global stock markets," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1911-1921, August.
  87. Daniel Traian PELE & Alexandra Ioana CONDA & Raul Cristian BAG & Miruna MAZURENCU-MARINESCU-PELE & Vasile Alecsandru STRAT, 2023. "Financial Risk Meter for The Romanian Stock Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 5-24, March.
  88. Wang, Xiao-Qing & Qin, Meng & Moldovan, Nicoleta-Claudia & Su, Chi-Wei, 2023. "Bubble behaviors in lithium price and the contagion effect: An industry chain perspective," Resources Policy, Elsevier, vol. 83(C).
  89. Suleman, Muhammad Tahir & McIver, Ron & Kang, Sang Hoon, 2021. "Asymmetric volatility connectedness between Islamic stock and commodity markets," Global Finance Journal, Elsevier, vol. 49(C).
  90. Kumar, Pawan & Singh, Vipul Kumar, 2022. "Does crude oil fire the emerging markets currencies contagion spillover? A systemic perspective," Energy Economics, Elsevier, vol. 116(C).
  91. Dragan Tevdovski, 2014. "Extreme negative coexceedances in South Eastern European stock markets," CREATES Research Papers 2014-18, Department of Economics and Business Economics, Aarhus University.
  92. Faggini, Marisa & Bruno, Bruna & Parziale, Anna, 2019. "Crises in economic complex networks: Black Swans or Dragon Kings?," Economic Analysis and Policy, Elsevier, vol. 62(C), pages 105-115.
  93. Fischer, Justina A.V., 2012. "The choice of domestic policies in a globalized economy: Extended Version," MPRA Paper 37816, University Library of Munich, Germany.
  94. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2011. "International diversification: A copula approach," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 403-417, February.
  95. Bali, Turan G. & Cakici, Nusret, 2010. "World market risk, country-specific risk and expected returns in international stock markets," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1152-1165, June.
  96. Kang, Sang Hoon & Uddin, Gazi Salah & Troster, Victor & Yoon, Seong-Min, 2019. "Directional spillover effects between ASEAN and world stock markets," Journal of Multinational Financial Management, Elsevier, vol. 52.
  97. Sayantan Banerjee & Kousik Guhathakurta, 2019. "Change-point Analysis in Financial Networks," Papers 1911.05952, arXiv.org.
  98. Kateryna Anatoliyevna Kopyl & John Byong-Tek Lee, 2016. "How safe are the safe haven assets?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(4), pages 453-482, November.
  99. Panait, Iulian & Slavescu, Ecaterina Oana, 2011. "Volatility and causality study of the daily returns on the Bucharest Stock Exchange during 2007-2011," MPRA Paper 41786, University Library of Munich, Germany.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.