An Empirical Study of the Contagion Effects of the Us Subprime Crisis on Stock Markets of Some Selected Developed and Emerging.pdf

1、The nature of contagion has been simplified, since the tendency to quantify each of its effects (volatility, probability distribution functions, causality patterns among the markets, and the magnitude and persistence of

2、profrtability shocks) exists in the literature. The conventional method of testing for financial contagion examines if cross-markets correlation coefficient increase significantly after a crisis. Because the study of the

3、 behavior of correlation coefficients alone is not sufficient for detecting contagion, our approach consists of using many contagion tests which allowed a more accurate evaluation of the contagion effects, with the aim o

4、f answering the following central question: what can be learned from the contagion effects generated by financial crises in an industrialized country on both the developed and emerging countries? In order to answer this

5、question, we use the traditional correlation tests and tests based on Conditional Vector Autoregressive model (CVAR) including the Johansen and Julius cointegration tests, the Granger causality tests. The differe

6、nt tests resuhs ratified the existence of significant contagion effects derived from the US subprime crisis on the stock markets of both developed and emerging countries in the short run.On a cumulative basis, contrary t

7、o the widely believe that financial crises contagion are regional, the recent crisis is more global, it affected countries from different regions. The results of the tests provide evidence of contagion of the US subprime