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Contagion across US and European financial markets: Evidence from the CDS markets

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  • Apergis, Nicholas
  • Christou, Christina
  • Kynigakis, Iason

Abstract

This study investigates whether contagion occurred during the recent global financial crisis across European and US financial markets. The methodologies used to test for contagion are based on changes in correlation, coskewness, cokurtosis and covolatility. These tests are applied to a set of bank sector CDS, insurance sector CDS, sovereign bonds, equity and volatility indices. The findings indicate significant evidence of contagion, especially through the channels of higher order moments.

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  • Apergis, Nicholas & Christou, Christina & Kynigakis, Iason, 2019. "Contagion across US and European financial markets: Evidence from the CDS markets," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 1-12.
    • Handle: RePEc:eee:jimfin:v:96:y:2019:i:c:p:1-12
    DOI: 10.1016/j.jimonfin.2019.04.006
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    More about this item

    Keywords

    Cokurtosis; Correlation; Coskewness; Covolatility; Financial contagion; Financial crisis;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G01 - Financial Economics - - General - - - Financial Crises
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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