Contagion effects of the subprime crisis in the European NYSE Euronext markets

Detalhes bibliográficos
Autor(a) principal: Horta, Paulo
Data de Publicação: 2010
Outros Autores: Mendes, Carlos, Vieira, Isabel
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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spelling 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
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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
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