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The financial contagion effects of the subprime crisis on BRIC countries

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  • Mourad Hmida

Abstract

The objective of this study is to test the presence of the contagion phenomenon during the US subprime crisis. We adopt the test of adjusted correlation coefficients between markets and propose a new procedure that involves testing the non-linearity of the propagation mechanism shocks, estimated with a model of long-term interdependence. We apply this methodology to the financial markets which measure the risk perception. Our results prove the existence of some cases of the contagion phenomenon between the financial markets of the USA, Brazil, Russia, India and China during the current crisis.

Suggested Citation

  • Mourad Hmida, 2014. "The financial contagion effects of the subprime crisis on BRIC countries," International Journal of Managerial and Financial Accounting, Inderscience Enterprises Ltd, vol. 6(3), pages 175-188.
    • Handle: RePEc:ids:injmfa:v:6:y:2014:i:3:p:175-188
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    Cited by:

    1. Francesco Caputo & Manlio Del Giudice & Federica Evangelista & Giuseppe Russo, 2016. "Corporate disclosure and intellectual capital: the light side of information asymmetry," International Journal of Managerial and Financial Accounting, Inderscience Enterprises Ltd, vol. 8(1), pages 75-96.

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