Title: Transmission of the 2010 Greek sovereign debt crisis to Asia-Pacific stock markets: a copula-based approach

Authors: Salma Jayech; Emna Abdennadher

Addresses: Faculty of Economics and Management, Sfax University, Street of Airport, km 4, LP 1088, Sfax 3018, Tunisia ' Higher Institute of Management of Sousse, University of Sousse, Abedelaziz El Bahi Street, B.P. 763, 4000 Sousse, Tunisia

Abstract: The objective of this paper is to detect the contagion effect of the 2010 sovereign debt crisis in the euro area on the stock markets of 12 countries in Asia-Pacific. We have used a new approach based on the copula theory. The obtained results show the transmission of this crisis by pure contagion of the American index to the share indices of Australia, Hong Kong, the Philippines, Singapore and Taiwan, which is not the case for the Greek share index where we have noticed the existence of a strong interdependence between markets after the crisis, and not a contagion. Contagion has fundamental importance in the financial markets because of these consequences on the global economy in terms of monetary policy, international diversification, risk measurement and assets valuation.

Keywords: Greek sovereign debt crisis; Financial contagion; Asia-Pacific stock markets; Copula theory.

DOI: 10.1504/IJEBR.2024.136154

International Journal of Economics and Business Research, 2024 Vol.27 No.1, pp.23 - 43

Received: 20 Mar 2021
Accepted: 27 Jul 2021
Published online: 19 Jan 2024 *

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