IDEAS home Printed from https://ideas.repec.org/a/ids/injmfa/v3y2011i2p170-187.html
   My bibliography  Save this article

Contagion in the stock markets: the 2007 subprime financial crisis

Author

Listed:
  • Selma Jayech
  • Tarek Sadraoui
  • Naceur Ben Zina

Abstract

In this article, we test the presence of financial contagion during the subprime mortgage crisis of 2007. For this purpose, we propose a new procedure for testing the non-linearity of the mechanisms of the shock distribution estimated through a model of long-term interdependence. We apply this methodology to the stock markets. Our empirical study shows the contamination of France, Germany, the UK and Japan.

Suggested Citation

  • Selma Jayech & Tarek Sadraoui & Naceur Ben Zina, 2011. "Contagion in the stock markets: the 2007 subprime financial crisis," International Journal of Managerial and Financial Accounting, Inderscience Enterprises Ltd, vol. 3(2), pages 170-187.
    • Handle: RePEc:ids:injmfa:v:3:y:2011:i:2:p:170-187
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=39495
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Amen Aissi Harzallah & Mouna Boujelbene Abbes, 2020. "The Impact of Financial Crises on the Asset Allocation: Classical Theory Versus Behavioral Theory," Journal of Interdisciplinary Economics, , vol. 32(2), pages 218-236, July.
    2. Amir Saadaoui & Younes Boujelbene, 2014. "Volatility Transmission between Bond and Stock Markets: Case of Emerging Financial Markets," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 6(6), pages 84-98, December.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:injmfa:v:3:y:2011:i:2:p:170-187. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=252 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.