Contagion effects of the subprime crisis in the European NYSE Euronext markets
Autor(a) principal: | |
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Data de Publicação: | 2010 |
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/10174/3049 |
Resumo: | This paper presents three tests of contagion of theUS subprime crisis to the European stock markets of the NYSE Euronext group. Copula models are used to analyse dependence structures between the US and the other stock 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 stock 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 stock markets and that investors anticipated a spreading of the financial crisis to the indices of industrial sectors, long before such dissemination was observable in the real economy. |
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Contagion effects of the subprime crisis in the European NYSE Euronext marketsFinancial contagionSubprime crisisStock markThis paper presents three tests of contagion of theUS subprime crisis to the European stock markets of the NYSE Euronext group. Copula models are used to analyse dependence structures between the US and the other stock 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 stock 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 stock markets and that investors anticipated a spreading of the financial crisis to the indices of industrial sectors, long before such dissemination was observable in the real economy.2012-01-05T19:37:06Z2012-01-052010-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10174/3049http://hdl.handle.net/10174/3049porHorta, Paulo; Mendes, Carlos; Vieira, Isabel. Contagion effects of the subprime crisis in the European NYSE Euronext markets, Portuguese Economic Journal, 9, 2, 115-140, 2010.ndndndHorta, PauloMendes, CarlosVieira, Isabelinfo: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:RCAAP2024-01-03T18:39:52Zoai:dspace.uevora.pt:10174/3049Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T00:58:34.493477Repositório 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 effects of the subprime crisis in the European NYSE Euronext markets |
title |
Contagion effects of the subprime crisis in the European NYSE Euronext markets |
spellingShingle |
Contagion effects of the subprime crisis in the European NYSE Euronext markets Horta, Paulo Financial contagion Subprime crisis Stock mark |
title_short |
Contagion effects of the subprime crisis in the European NYSE Euronext markets |
title_full |
Contagion effects of the subprime crisis in the European NYSE Euronext markets |
title_fullStr |
Contagion effects of the subprime crisis in the European NYSE Euronext markets |
title_full_unstemmed |
Contagion effects of the subprime crisis in the European NYSE Euronext markets |
title_sort |
Contagion effects of the subprime crisis in the European NYSE Euronext markets |
author |
Horta, Paulo |
author_facet |
Horta, Paulo Mendes, Carlos Vieira, Isabel |
author_role |
author |
author2 |
Mendes, Carlos Vieira, Isabel |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Horta, Paulo Mendes, Carlos Vieira, Isabel |
dc.subject.por.fl_str_mv |
Financial contagion Subprime crisis Stock mark |
topic |
Financial contagion Subprime crisis Stock mark |
description |
This paper presents three tests of contagion of theUS subprime crisis to the European stock markets of the NYSE Euronext group. Copula models are used to analyse dependence structures between the US and the other stock 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 stock 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 stock markets and that investors anticipated a spreading of the financial crisis to the indices of industrial sectors, long before such dissemination was observable in the real economy. |
publishDate |
2010 |
dc.date.none.fl_str_mv |
2010-01-01T00:00:00Z 2012-01-05T19:37:06Z 2012-01-05 |
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/10174/3049 http://hdl.handle.net/10174/3049 |
url |
http://hdl.handle.net/10174/3049 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
Horta, Paulo; Mendes, Carlos; Vieira, Isabel. Contagion effects of the subprime crisis in the European NYSE Euronext markets, Portuguese Economic Journal, 9, 2, 115-140, 2010. nd nd nd |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
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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) |
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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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1799136468564705280 |