Contagion Effects in the European Nyse Euronext Stock Markets in the Context of the 2010 Sovereign Debt Crisis

This paper analyses the contagion effects of the Greek stock market to the European stock markets of the NYSE Euronext group (Belgium, France, the Netherlands and Portugal), in the context of the 2010 sovereign debt crisis. Three tests of contagion are performed using copula models. The first test assesses the existence of contagion on the relevant stock markets’ indices, the second checks the homogeneity of contagion intensities between the indices, and the third compares contagion intensity during the 2008 Subprime crisis and the 2010 European sovereign debt crisis. Results of the first test suggest that contagion exists only in the Portuguese stock market. The other three markets in the sample show interdependence and no contagion. The second test suggests that the Portuguese index exhibits more intensity than the other indices, and the intensity displayed by the Belgian, French and Dutch indices, is not different among these last three indices. Finally, the third test shows that the contagion effects of the 2008 Subprime crisis are clearly more intense than those caused by the 2010 sovereign debt crisis.