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Contagion in CDS, banking and equity markets

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  • Tabak, Benjamin M.
  • de Castro Miranda, Rodrigo
  • da Silva Medeiros, Maurício

Abstract

We develop a strategy for testing endogenously contagion within banking sector, stock market indices and Credit Default Swap Spreads. We present evidence of strong contagion in several cases and markets. Contagion seems to be widespread during the Global Financial Crisis and the recent European Sovereign Debt Crisis. Our results are important for a better understanding of contagion and the development of macroprudential tools for financial stability surveillance.

Suggested Citation

  • Tabak, Benjamin M. & de Castro Miranda, Rodrigo & da Silva Medeiros, Maurício, 2016. "Contagion in CDS, banking and equity markets," Economic Systems, Elsevier, vol. 40(1), pages 120-134.
    • Handle: RePEc:eee:ecosys:v:40:y:2016:i:1:p:120-134
    DOI: 10.1016/j.ecosys.2015.07.002
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    Cited by:

    1. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Hammoudeh, Shawkat & Shahbaz, Muhammad, 2017. "Directional and bidirectional causality between U.S. industry credit and stock markets and their determinants," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 46-61.
    2. Saker Sabkha & Christian De Peretti & Dorra Hmaied, 2017. "The Credit Default Swap market contagion during recent crises: International evidence," Working Papers hal-01572510, HAL.
    3. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Mensi, Walid & Kumar, Ronald Ravinesh, 2017. "Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 351-363.
    4. Saker Sabkha & Christian De Peretti & Dorra Hmaied, 2018. "The Credit Default Swap market contagion during recent crises: International evidence," Post-Print hal-01572510, HAL.
    5. repec:eee:finlet:v:22:y:2017:i:c:p:163-168 is not listed on IDEAS
    6. repec:eme:ijmfpp:ijmf-02-2017-0018 is not listed on IDEAS

    More about this item

    Keywords

    Contagion; Correlation; Coskewness; Endogenous testing; G01; G15;

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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