English, Article, Journal or magazine article edition: Contagion Effects of the Subprime Crisis in the European Nyse-Euronext Markets Paulo Horta; Carlos Mendes; Isabel Vieira

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Bookmark: http://trove.nla.gov.au/version/195284
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Contagion Effects of the Subprime Crisis in the European Nyse-Euronext Markets
Author
  • Paulo Horta
  • Carlos Mendes
  • Isabel Vieira
Physical Description
  • preprint
Notes
  • This paper presents three tests of contagion of the US subprime crisis to the European markets of the NYSE-Euronext group. Copula models are used to analyse dependence structures between the US's and the other 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 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 markets and that investors anticipated a spreading of the financial crisis to the real economy, long before such dissemination was observable.
  • Financial contagion; subprime crisis; stock markets; copula theory.
  • RePEc:cfe:wpcefa:2009_01
Language
  • English
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