Scandinavian Working Papers in Economics

Working Papers,
Blekinge Institute of Technology, Department of Industrial Economics

No 2014/05: Financial Market Contagion during the Global Financial Crisis

Sabur Mollah (), Goran Zafirov () and AMM Shahiduzzaman Quoreshi ()
Additional contact information
Sabur Mollah: Stockholm University, School of Business
Goran Zafirov: Stockholm University, School of Business
AMM Shahiduzzaman Quoreshi: CITR, Blekinge Inst of Technology, Postal: CITR (Center for Innovation and Technology Research), Department of Industrial Economics, Blekinge Inst of Technology, 371 79 Karlskrona, Sweden

Abstract: Scholars worldwide have provided both theoretical and empirical insights into financial market contagion. The devastation from the recent financial crisis is immeasurable, and researchers commonly believe that the crisis seemingly originated from the U.S. and spread immediately to the other global financial hubs. Several studies have been conducted on financial markets, but this issue has yet to be addressed. Using U.S. dollar-denominated MSCI daily indices for the period 2006–2010, this paper employs Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) and vector error correction (VEC) models to address the multi-dimensional phenomena around financial market contagion. The empirical results demonstrate the existence of contagion in the financial markets during the global crisis. However, the crisis originated in the U.S., and its effects escalated immediately to the other global markets. The results also indicate that benefits from portfolio diversification decayed significantly among countries during the crisis.

Keywords: Contagion; Financial Markets; Global Crisis

JEL-codes: C58; F36; G01

38 pages, April 2, 2014

Full text files

WP%202014_5_Quoreshiv1.pdf PDF-file 

Download statistics

Questions (including download problems) about the papers in this series should be directed to Martin Andersson ()
Report other problems with accessing this service to Sune Karlsson ().

This page generated on 2018-01-23 23:55:24.