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Transmission of the 2010 Greek sovereign debt crisis to Asia-Pacific stock markets: a copula-based approach

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  • Salma Jayech
  • Emna Abdennadher

Abstract

The objective of this paper is to detect the contagion effect of the 2010 sovereign debt crisis in the euro area on the stock markets of 12 countries in Asia-Pacific. We have used a new approach based on the copula theory. The obtained results show the transmission of this crisis by pure contagion of the American index to the share indices of Australia, Hong Kong, the Philippines, Singapore and Taiwan, which is not the case for the Greek share index where we have noticed the existence of a strong interdependence between markets after the crisis, and not a contagion. Contagion has fundamental importance in the financial markets because of these consequences on the global economy in terms of monetary policy, international diversification, risk measurement and assets valuation.

Suggested Citation

  • Salma Jayech & Emna Abdennadher, 2024. "Transmission of the 2010 Greek sovereign debt crisis to Asia-Pacific stock markets: a copula-based approach," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 27(1), pages 23-43.
    • Handle: RePEc:ids:ijecbr:v:27:y:2024:i:1:p:23-43
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