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The Contagion Effects of Financial Crisis on Stock Markets: What Can We Learn From a Cointegrated Vector Autoregressive Approach for Developed Countries?

Author

Listed:
  • Manuel J. Rocha Armada

    (University of Minho, School of Economics and Management, Braga, Portugal)

  • Joao Leitao

    (University of Beira Interior, Covilha, Portugal)

  • Júlio Lobao

    (University of Porto, Faculty of Economics, Porto, Portugal)

Abstract

Esta investigación aplica un conjunto de pruebas diversificadas que no se han utilizado en forma conjunta para estudiar los efectos de contagio de las crisis financieras en los mercados bursátiles de los pa ??ses desarrollados. Esto es particularmente importante debido al hecho de que en la literatura existente no se abordan adecuadamente los efectos de las crisis financieras en dichos mercados. Se realizan varias pruebas emp ??ricas en forma conjunta: pruebas de correlación; de Kolmogorov-Smirnov; de valor extremo; y las pruebas basadas en la estimación de modelos de vectores autorregresivos cointegrados. Se muestra evidencia significativa de efectos de contagio durante la crisis asiática, la crisis de Rusia y la crisis del 11 de Septiembre. Por último, los efectos de contagio encontrados durante las crisis en Brasil, Argentina y México son limitados.

Suggested Citation

  • Manuel J. Rocha Armada & Joao Leitao & Júlio Lobao, 2011. "The Contagion Effects of Financial Crisis on Stock Markets: What Can We Learn From a Cointegrated Vector Autoregressive Approach for Developed Countries?," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 6(1), pages 29-53, Julio-Dic.
    • Handle: RePEc:imx:journl:v:6:y:2011:i:1:p:29-53
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    References listed on IDEAS

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    More about this item

    Keywords

    Cointegration; Contagion; Stock Markets; Developed Countries;
    All these keywords.

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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