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

2010-08Journal article Restricted access
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dc.contributor.authorHorta, Paulo
dc.contributor.authorMendes, Carlos
dc.contributor.authorVieira, Isabel
dc.date.accessioned2018-06-19T08:26:04Z
dc.date.available2018-06-19T08:26:04Z
dc.date.issued2010-08
dc.description.abstractThis paper presents three tests of contagion of theUS subprime crisis to the European stock markets of the NYSE Euronext group. Copula models are used to analyse dependence structures between the US and the other stock 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 stock 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 stock markets and that investors anticipated a spreading of the financial crisis to the indices of industrial sectors, long before such dissemination was observable in the real economy.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationHorta, Paulo, Carlos Mendes e Isabel Vieira (2010). "Contagion effects of the subprime crisis in the European NYSE Euronext markets". Portuguese Economic Journal, 9(2):115-140pt_PT
dc.identifier.doi10.1007/s10258-010-0056-6pt_PT
dc.identifier.issn1617-982X (print)
dc.identifier.issn1617-9838 (online)
dc.identifier.urihttp://hdl.handle.net/10400.5/15644
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherSpringer Verlagpt_PT
dc.subjectFinancial contagionpt_PT
dc.subjectSubprime crisispt_PT
dc.subjectStock marketspt_PT
dc.subjectCopula theorypt_PT
dc.titleContagion effects of the subprime crisis in the European NYSE Euronext marketspt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.conferencePlaceLisboapt_PT
oaire.citation.endPage140pt_PT
oaire.citation.issue2pt_PT
oaire.citation.startPage115pt_PT
oaire.citation.titlePortuguese Economic Journalpt_PT
oaire.citation.volume9pt_PT
rcaap.rightsclosedAccesspt_PT
rcaap.typearticlept_PT

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Portuguese Economic Journal, 2010, Volume 9, Nº 2