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Contagion in International Stock Markets during the Sub Prime Mortgage Crisis

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  • Hsien-Yi Lee

    (Department of Business Administration, Cheng Shiu University, Taiwan)

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    Abstract

    The sub prime mortgages crises took place in July, 2007 in US which causes the large scare in the global financial markets, and the international stock and foreign market suffer heavy shock. Using twenty international stock indexes, this study examines whether any contagion effect occurred across international markets after the sub-prime financial mortgage crisis in US. Using the heteroscedasticity biases based on correlation coefficients to examine the existence of the contagion effect, this study shows that stock markets of some countries (namely Hong Kong, Taiwan, Australia and New Zealand) did suffer from the contagion effect.

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    Bibliographic Info

    Article provided by Econjournals in its journal International Journal of Economics and Financial Issues.

    Volume (Year): 2 (2012)
    Issue (Month): 1 ()
    Pages: 41-53

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    Handle: RePEc:eco:journ1:2012-01-6

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    Web page: http://www.econjournals.com

    Related research

    Keywords: Contagion effect; Sub prime mortgage; Correlation coefficients; Stock markets; Financial crises;

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    References

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    Cited by:
    1. Olfa Kaabia & Ilyes Abid & Khaled Guesmi, 2012. "Does Bayesian Shrinkage Help to Better Reflect What Happened during the Subprime Crisis?," EconomiX Working Papers 2012-46, University of Paris West - Nanterre la Défense, EconomiX.

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