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Contagion effects of the subprime crisis in the European NYSE Euronext markets


  • Paulo Horta
  • Carlos Mendes
  • Isabel Vieira



This paper presents three tests of contagion of the US subprime crisis to the European markets of the NYSE-Euronext group. Copula models are used to analyse dependence structures between the US's and the other markets in the sample, in the pre-crisis and in the subprime crisis periods. The first test assesses the existence of contagion on the relevant markets' indices, the second checks the homogeneity of contagion intensities, and the third compares contagion in financial and in industrial sectors' indices. Results suggest that contagion exists, and is equally felt, in most markets and that investors anticipated a spreading of the financial crisis to the real economy, long before such dissemination was observable.
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Suggested Citation

  • Paulo Horta & Carlos Mendes & Isabel Vieira, 2010. "Contagion effects of the subprime crisis in the European NYSE Euronext markets," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 9(2), pages 115-140, August.
  • Handle: RePEc:spr:portec:v:9:y:2010:i:2:p:115-140 DOI: 10.1007/s10258-010-0056-6

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    References listed on IDEAS

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    Cited by:

    1. Jin, Xiaoye, 2016. "The impact of 2008 financial crisis on the efficiency and contagion of Asian stock markets: A Hurst exponent approach," Finance Research Letters, Elsevier, vol. 17(C), pages 167-175.
    2. Jayech, Selma, 2016. "The contagion channels of July–August-2011 stock market crash: A DAG-copula based approach," European Journal of Operational Research, Elsevier, vol. 249(2), pages 631-646.
    3. Burzala, Milda Maria, 2016. "Contagion effects in selected European capital markets during the financial crisis of 2007–2009," Research in International Business and Finance, Elsevier, vol. 37(C), pages 556-571.
    4. Baur, Dirk G., 2012. "Financial contagion and the real economy," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2680-2692.
    5. George Milunovich & Stefan Trück, 2013. "Regional and global contagion in real estate investment trusts: The case of the financial crisis of 2007-2009," Journal of Property Investment & Finance, Emerald Group Publishing, vol. 31(1), pages 53-77, February.
    6. Rafał SIEDLECKI & Daniel PAPLA, 2016. "Conditional Correlation Coefficient As A Tool For Analysis Of Contagion In Financial Markets And Real Economy Indexes Based On The Synthetic Ratio," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(4), pages 287-299.
    7. Silvapulle, Param & Fenech, Jean Pierre & Thomas, Alice & Brooks, Rob, 2016. "Determinants of sovereign bond yield spreads and contagion in the peripheral EU countries," Economic Modelling, Elsevier, vol. 58(C), pages 83-92.
    8. Akhtaruzzaman, Md & Shamsuddin, Abul, 2016. "International contagion through financial versus non-financial firms," Economic Modelling, Elsevier, vol. 59(C), pages 143-163.
    9. Smimou, K. & Khallouli, W., 2016. "On the intensity of liquidity spillovers in the Eurozone," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 388-405.
    10. Renée Fry & Cody Yu-Ling Hsiao & Chrismin Tang, 2011. "Actually This Time Is Different," CAMA Working Papers 2011-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    11. Changki Kim & Yangho Choi & Woojoo Lee & Jae Youn Ahn, 2013. "Analyzing Herd Behavior in Global Stock Markets: An Intercontinental Comparison," Papers 1308.3966,
    12. Horta, Paulo & Lagoa, Sérgio & Martins, Luís, 2014. "The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 140-153.
    13. Renée Fry-McKibbin & Cody Hsiao & Chrismin Tang, 2014. "Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes," Open Economies Review, Springer, vol. 25(3), pages 521-570, July.
    14. Paulo Horta, 2013. "Contagion Effects in the European Nyse Euronext Stock Markets in the Context of the 2010 Sovereign Debt Crisis," CEFAGE-UE Working Papers 2013_12, University of Evora, CEFAGE-UE (Portugal).
    15. Hatice Gaye Gencer & Sercan Demiralay, 2016. "The Contagion Effects on Real Economy: Emerging Markets during the Recent Crises," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 104-121, March.
    16. Dimitris Kenourgios & Dimitrios Dimitriou, 2014. "Contagion Effects of the Global Financial Crisis in US and European Real Economy Sectors," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 61(3), pages 275-288, June.
    17. Vítor Caldeirinha & J. Augusto Felício & Andreia Dionísio, 2013. "Effect of the container terminal characteristics on performance," CEFAGE-UE Working Papers 2013_13, University of Evora, CEFAGE-UE (Portugal).
    18. Støve, Bård & Tjøstheim, Dag & Hufthammer, Karl Ove, 2014. "Using local Gaussian correlation in a nonlinear re-examination of financial contagion," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 62-82.

    More about this item


    Financial contagion; Subprime crisis; Stock markets; Copula theory; F30; G14; G15;

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets


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