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Stock market contagion during the global financial crisis: A multiscale approach

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  • Wang, Gang-Jin
  • Xie, Chi
  • Lin, Min
  • Stanley, H. Eugene

Abstract

We propose a multiscale correlation contagion statistic to test for stock market contagion during the global financial crisis (GFC) from the US to the other six G7 and BRIC countries. We find that cross-market correlations between the US and selected countries are conditional on the time scale. Stock market contagion during the GFC is dependent on both the recipient country and the time scale, e.g., contagion from the US to Japan, China, and Brazil occurs when the time scale is longer than 50 days or more. Our findings are important to international investors when they make decisions about global portfolio diversification.

Suggested Citation

  • Wang, Gang-Jin & Xie, Chi & Lin, Min & Stanley, H. Eugene, 2017. "Stock market contagion during the global financial crisis: A multiscale approach," Finance Research Letters, Elsevier, vol. 22(C), pages 163-168.
    • Handle: RePEc:eee:finlet:v:22:y:2017:i:c:p:163-168
    DOI: 10.1016/j.frl.2016.12.025
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    More about this item

    Keywords

    Contagion; Stock market; Global financial crisis; Multiscale analysis;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G01 - Financial Economics - - General - - - Financial Crises

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