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Contagion in International Stock Markets During the sub Prime Mortgage Crisis

Author

Listed:
  • Hsien-Yi LEE

    () (Department of Business Administration, Cheng Shiu University, Taiwan)

Abstract

The sub prime mortgages crises took place in July, 2007 in US which causes the large scare in the global financial markets, and the international stock and foreign market suffer heavy shock. Using twenty international stock indexes, this study examines whether any contagion effect occurred across international markets after the sub-prime financial mortgage crisis in US. Using the heteroscedasticity biases based on correlation coefficients to examine the existence of the contagion effect, this study shows that stock markets of some countries (namely Hong Kong, Taiwan, Australia and New Zealand) did suffer from the contagion effect.

Suggested Citation

  • Hsien-Yi LEE, 2011. "Contagion in International Stock Markets During the sub Prime Mortgage Crisis," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 8, pages 141-158, December.
  • Handle: RePEc:aic:revebs:y:2011:i:8:leeh
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    References listed on IDEAS

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    1. Longstaff, Francis A., 2010. "The subprime credit crisis and contagion in financial markets," Journal of Financial Economics, Elsevier, vol. 97(3), pages 436-450, September.
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    Cited by:

    1. Razvan Stefanescu & Ramona Dumitriu, 2015. "Impact Of The Shocks From Nyse On The Romanian Capital Markets," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 371-376.

    More about this item

    Keywords

    financial crises; Contagion effect; sub prime mortgage; correlation coefficients; stock markets;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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