Contagion in the stock markets: the 2007 subprime financial crisis
by Selma Jayech, Tarek Sadraoui, Naceur Ben Zina
International Journal of Managerial and Financial Accounting (IJMFA), Vol. 3, No. 2, 2011

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.

Online publication date: Sat, 29-Nov-2014

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