Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis
Autor(a) principal: | |
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Data de Publicação: | 2019 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10174/26305 https://doi.org/Mothi, W; Dionísio, A.; Ferreira, P. and Vieira, I. (2019) “Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis”. Economies, MDPI, 7, 15. (doi.org/10.3390/economies7010015) https://doi.org/doi.org/10.3390/economies7010015 |
Resumo: | This study assesses contagion from the USA subprime financial crisis on a large set of frontier stock markets. Copula models were used to investigate the structure of dependence between frontier markets and the USA, before and after the occurrence of the crisis. Statistically significant evidence of contagion could only be found in the European region, with the markets of Croatia and Romania being affected. The remaining European markets in our sample and the others, located in America, Middle East, Africa, and Asia, appear to have been isolated from the subprime crisis impact. These results are useful for international investors interested in enlarging the geographical diversification of their portfolios, but also for the considered countries’ policymakers who should attempt to improve the attractiveness of stock markets for domestic and foreign investors while simultaneously attempting to maintain their relative level of insulation against future foreign crises. |
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Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysiscopula modelsfinancial contagionfinancial crisisfrontier marketsThis study assesses contagion from the USA subprime financial crisis on a large set of frontier stock markets. Copula models were used to investigate the structure of dependence between frontier markets and the USA, before and after the occurrence of the crisis. Statistically significant evidence of contagion could only be found in the European region, with the markets of Croatia and Romania being affected. The remaining European markets in our sample and the others, located in America, Middle East, Africa, and Asia, appear to have been isolated from the subprime crisis impact. These results are useful for international investors interested in enlarging the geographical diversification of their portfolios, but also for the considered countries’ policymakers who should attempt to improve the attractiveness of stock markets for domestic and foreign investors while simultaneously attempting to maintain their relative level of insulation against future foreign crises.This paper is financed by National Funds of the FCT—Portuguese Foundation for Science and Technology within the project UID/ECO/04007/2019.MDPI2020-01-07T11:18:34Z2020-01-072019-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10174/26305https://doi.org/Mothi, W; Dionísio, A.; Ferreira, P. and Vieira, I. (2019) “Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis”. Economies, MDPI, 7, 15. (doi.org/10.3390/economies7010015)https://doi.org/doi.org/10.3390/economies7010015http://hdl.handle.net/10174/26305https://doi.org/doi.org/10.3390/economies7010015porbeeah_awan@yahoo.comandreia@uevora.ptimpvv@uevora.ptpjsf@uevora.pt256Mothi, WahbeeahDionísio, AndreiaVieira, IsabelFerreira, Pauloinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-03T19:20:56Zoai:dspace.uevora.pt:10174/26305Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:16:38.177706Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis |
title |
Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis |
spellingShingle |
Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis Mothi, Wahbeeah copula models financial contagion financial crisis frontier markets |
title_short |
Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis |
title_full |
Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis |
title_fullStr |
Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis |
title_full_unstemmed |
Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis |
title_sort |
Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis |
author |
Mothi, Wahbeeah |
author_facet |
Mothi, Wahbeeah Dionísio, Andreia Vieira, Isabel Ferreira, Paulo |
author_role |
author |
author2 |
Dionísio, Andreia Vieira, Isabel Ferreira, Paulo |
author2_role |
author author author |
dc.contributor.author.fl_str_mv |
Mothi, Wahbeeah Dionísio, Andreia Vieira, Isabel Ferreira, Paulo |
dc.subject.por.fl_str_mv |
copula models financial contagion financial crisis frontier markets |
topic |
copula models financial contagion financial crisis frontier markets |
description |
This study assesses contagion from the USA subprime financial crisis on a large set of frontier stock markets. Copula models were used to investigate the structure of dependence between frontier markets and the USA, before and after the occurrence of the crisis. Statistically significant evidence of contagion could only be found in the European region, with the markets of Croatia and Romania being affected. The remaining European markets in our sample and the others, located in America, Middle East, Africa, and Asia, appear to have been isolated from the subprime crisis impact. These results are useful for international investors interested in enlarging the geographical diversification of their portfolios, but also for the considered countries’ policymakers who should attempt to improve the attractiveness of stock markets for domestic and foreign investors while simultaneously attempting to maintain their relative level of insulation against future foreign crises. |
publishDate |
2019 |
dc.date.none.fl_str_mv |
2019-01-01T00:00:00Z 2020-01-07T11:18:34Z 2020-01-07 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10174/26305 https://doi.org/Mothi, W; Dionísio, A.; Ferreira, P. and Vieira, I. (2019) “Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis”. Economies, MDPI, 7, 15. (doi.org/10.3390/economies7010015) https://doi.org/doi.org/10.3390/economies7010015 http://hdl.handle.net/10174/26305 https://doi.org/doi.org/10.3390/economies7010015 |
url |
http://hdl.handle.net/10174/26305 https://doi.org/Mothi, W; Dionísio, A.; Ferreira, P. and Vieira, I. (2019) “Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis”. Economies, MDPI, 7, 15. (doi.org/10.3390/economies7010015) https://doi.org/doi.org/10.3390/economies7010015 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
beeah_awan@yahoo.com andreia@uevora.pt impvv@uevora.pt pjsf@uevora.pt 256 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
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openAccess |
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MDPI |
publisher.none.fl_str_mv |
MDPI |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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