Title: The financial contagion effects of the subprime crisis on BRIC countries

Authors: Mourad Hmida

Addresses: Unit of Tourism and Sustainable Development, Faculty of Economics and Management of Sousse, University of Sousse, Sousse, Tunisia; Higher Institute of Business Administration of Gafsa, Gafsa, Tunisia

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.

Keywords: subprime crisis; financial crisis; financial contagion; BRIC countries; correlation; nonlinear error correction models; propagation mechanism shocks; long-term interdependence; risk perception; financial markets; USA; United States; Brazil; Russia; India; China.

DOI: 10.1504/IJMFA.2014.065237

International Journal of Managerial and Financial Accounting, 2014 Vol.6 No.3, pp.175 - 188

Received: 05 Apr 2014
Accepted: 23 Jul 2014
Published online: 16 Oct 2014 *

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