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Mathias Mandla Manguzvane and John Weirstrass Muteba Mwamba
Systemic susceptibility highlights the extent to which a banking sector is sensitive to negative shocks. Policymakers and regulators? objective is to avoid financial crises, and even though they can somewhat control local conditions, internationally tran...
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Ionu? Nica, Camelia Delcea, Nora Chiri?a and ?tefan Ionescu
This study describes a comprehensive bibliometric analysis of shadow banking and financial contagion dynamics from 1996 to 2022. Through a holistic approach, our study focuses on quantifying the impact and uncovering significant trends in scientific rese...
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Mohamed Beraich, Karim Amzile, Jaouad Laamire, Omar Zirari and Mohamed Amine Fadali
The present study aims to investigate the volatility spillover effects in the international financial markets before and during the Russia?Ukraine conflict. The subject of this paper is the study of the influence of the recent war between Russia and Ukra...
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SAMOUT Ammar
Pág. 2657 - 2672
The objective of this article is to highlight the nature of the relationship between several stock markets (France, the great Britain, Germany, and United States). The behavior of those facing the subprime crisis that took place in United State markets w...
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Sakthi Mahenthiran, Tom Gjerde and Berta Silva
The study examines evidence for the transmission of the US and EU financial crises via investor holdings into the Chilean stock market following two global financial crises, in 2008 and 2011. The study modified the models of Bekaert et al. (2014), and Du...
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Kuo-Jung Lee, Su-Lien Lu and You Shih
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Muhammad Usman Sana Ullah,Naveed Ul Haq,Hood Laeeq,Ammar Aftab Raja
Pág. 61 - 74
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Mariem Talbi,Adel Boubaker,Saber Sebai
Pág. 387 - 407
The paper aims to test the existence of financial contagion between foreign stock markets of several emerging and developed countries during the U.S subprime crisis. It empirically attests for contagion through a DCC MGARCH (1.1) and an adjuste...
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Nadhem Selmi,Nejib Hachicha
Pág. 353 - 362
This paper examines whether the bank can be a cause of contagion during the global financial crisis. This paper utilizes a Dynamic Conditional Correlation Model to examine the financial contagion phenomenon following the recent financial crisis. This mod...
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Shaen Corbet
Pág. 83 - 92
This research examines the effects of sovereign downgrades on European financial markets between 2005 and 2012. Vector Autoregression (VAR) techniques are used to investigate the presence of contagion effects after a sovereign downgrade across equity ind...
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Zouheir Mighri,Faysal Mansouri
Pág. 637 - 661
This research examines the time-varying conditional correlations to the daily stock index returns. We use a dynamic conditional correlation (DCC) multivariate GARCH model in order to capture potential contagion effects between US and major developed and ...
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Mongi GHARSELLAOUI
Pág. 153 - 162
The purpose of this paper is to study the subprime crisis while focusing on the phenomenon of financial contagion. Subprime crisis is a crisis that has hit the U.S. mortgage sector and helped to trigger the financial crisis of 2007-2009. In the context o...
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Loujaina El Sayed, Nourhan Hegazi
Despite originating in the U.S., the repercussions of the 2008 global financial crisis were spread all over the globe to affect all classes of economies, suggesting the presence of a global contagious effect.MENA countries, which have recently become mor...
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Aléssio Tony Cavalcanti de Almeida,Bruno Ferreira Frascaroli,Danilo Regis da Cunha
Pág. 551 - 584
The main point of this work is to assess how a financial distress in return series of the major Brazilian companies assets and relevant domestic market (Ibovespa) and main international index (Dow Jones) interact with each other, in an attempt to capture...
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Luís Ángel Meneses Cerón,Ronald Alejandro Macuacé Otero
Pág. 51 - 62
This paper studies the relationships of dependence between financial markets, particularly the investigation of the effect of financial contagion between two sets of returns of stock indices: Dow Jones (DJ) and the General Index of the Stock Exchange of ...
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Pedro Luiz Valls Pereira,Ricardo Pires de Souza Santos
Pág. 335 - 363
This article aims to test the hypothesis of contagion between the indices of financial markets from the United States into Brazil, Japan and the UK for the 2000 to 2009 period. Time varying copulas were used to capture the impact of the sub-prime crisis ...
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Anika Sedyaning Wikanti(1), (1)
Pág. 125 - 137
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Hsien-Yi Lee
Pág. 41 - 53
The sub prime mortgages crises took place in July, 2007 in US which causes the large scare in the global financial markets, and the international stock and foreign market suffer heavy shock. Using twenty international stock indexes, this study examines w...
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Halim DABBOU,Ahmed SILEM
Pág. 54 - 70
The aim of this paper is to analyze the role of the price limits system to secure the Tunisian stock market against the contagion by the current world-wide crisis. Initially, we try to show that the contagion observed in the Tunisian market is of psychol...
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Daniel Botez
Pág. pp. 11 - 16
The financial crisis that broke out in summer 2007 is striking in its sheer magnitude, the speed of its contagion to the global financial sphere, as well as its persistence. These factors make it on the most impressive and unprecedented events in recent ...
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