CONTAGION IN INTERNATIONAL STOCK MARKETS DURING THE SUB PRIME MORTGAGE CRISIS
CONTAGION IN INTERNATIONAL STOCK MARKETS DURING THE SUB PRIME MORTGAGE CRISIS
Author(s): Hsien-Yi LEESubject(s): Economic history, Transformation Period (1990 - 2010), Financial Markets
Published by: Editura Universităţii »Alexandru Ioan Cuza« din Iaşi
Keywords: Contagion effect; sub prime mortgage; correlation coefficients; stock markets; financial crises;
Summary/Abstract: 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 whether any contagion effect occurred across international markets after the sub-prime financial mortgage crisis in US. Using the heteroscedasticity biases based on correlation coefficients to examine the existence of the contagion effect, this study shows that stock markets of some countries (namely Hong Kong, Taiwan, Australia and New Zealand) did suffer from the contagion effect.
Journal: Review of Economic and Business Studies (REBS)
- Issue Year: 2011
- Issue No: 8
- Page Range: 141-158
- Page Count: 18
- Language: English
