Contagion or Interdependence in the recent Global Financial Crisis? An application to the stock markets using unconditional cross-market correlations
AbstractWe consider stock market contagion as a significant increase in cross-market linkages after a shock to one country or group of countries. Under this definition we study if contagion occurred from the U.S. Financial Crisis to the rest of the major stock markets in the world by using the adjusted (unconditional) correlation coefficient approach (Forbes and Rigobon, 2002) which consists of testing if average crossmarket correlations increase significantly during the relevant period of turmoil. We would not reject the null hypothesis of interdependence in favour of contagion if the increase in correlation only suggests a continuation of high linkages in all state of the world. Moreover, if contagion occurs, this would justify the intervention of the IMF and the suddenly portfolio restructuring during the period under study.
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Bibliographic InfoPaper provided by Universitat Rovira i Virgili, Department of Economics in its series Working Papers with number 2072/211884.
Date of creation: 2013
Date of revision:
Borsa de valors; Crisi financera global; 2007-2009; 339 - Comerç. Relacions econòmiques internacionals. Economia mundial. Màrqueting;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-16 (All new papers)
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