Title: Contagion in the stock markets: the 2007 subprime financial crisis

Authors: Selma Jayech, Tarek Sadraoui, Naceur Ben Zina

Addresses: Faculty of Economics and Management, Sfax – Tunisia, Unit of Dynamic Economic and Environmental Research, (URDEE), Km 1.5, Sfax 3018, Tunisia. ' Faculty of Economics and Management, Sfax – Tunisia, Unit of Dynamic Economic and Environmental Research, (URDEE), Km 1.5, Sfax 3018, Tunisia. ' Faculty of Economics and Management, Unit of Dynamic Economics and Environmental Research (URDEE), University of Economics and Management, Sfax, Tunisia

Abstract: In this article, we test the presence of financial contagion during the subprime mortgage crisis of 2007. For this purpose, we propose a new procedure for testing the non-linearity of the mechanisms of the shock distribution estimated through a model of long-term interdependence. We apply this methodology to the stock markets. Our empirical study shows the contamination of France, Germany, the UK and Japan.

Keywords: subprime financial crisis; financial contagion; nonlinear error correction models; subprime crisis; shock distribution; stock markets; France; Germany; UK; United Kingdom; Japan.

DOI: 10.1504/IJMFA.2011.039495

International Journal of Managerial and Financial Accounting, 2011 Vol.3 No.2, pp.170 - 187

Published online: 29 Nov 2014 *

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