Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis

Detalhes bibliográficos
Autor(a) principal: Mothi, Wahbeeah
Data de Publicação: 2019
Outros Autores: Dionísio, Andreia, Vieira, Isabel, Ferreira, Paulo
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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spelling 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
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv MDPI
publisher.none.fl_str_mv MDPI
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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