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How can a small country affect the European economy? The Greek contagion phenomenon

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  • Samitas, Aristeidis
  • Tsakalos, Ioannis
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    Abstract

    This study applies the asymmetric dynamic conditional correlation (A-DCC) model and employs copula functions to investigate the correlation dynamics among the Greek and European markets during the recent debt crisis. The Greek debt crisis occurred after the subprime mortgage crisis. Up to that point, the Greek stock market followed the larger stock markets, and Greek government debt should not have influenced other European markets. However, Greece is a member of the monetary union, and it is necessary to examine whether there exists a contagion effect on the other European Union (EU) member states. The findings support the existence of a contagion effect during crash periods but not during the Greek debt crisis.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

    Volume (Year): 25 (2013)
    Issue (Month): C ()
    Pages: 18-32

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    Handle: RePEc:eee:intfin:v:25:y:2013:i:c:p:18-32

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    Web page: http://www.elsevier.com/locate/intfin

    Related research

    Keywords: Greek crisis; Eurozone; Financial contagion; Copulas; A-DCC model;

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    Cited by:
    1. Renée Fry-McKibbin & Cody Hsiao & Chrismin Tang, 2014. "Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes," Open Economies Review, Springer, vol. 25(3), pages 521-570, July.
    2. Yang, Lu & Hamori, Shigeyuki, 2014. "Dependence structure between CEEC-3 and German government securities markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 109-125.
    3. Philippas, Dionisis & Siriopoulos, Costas, 2013. "Putting the “C” into crisis: Contagion, correlations and copulas on EMU bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 161-176.

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