Contagion effects in selected European capital markets during the financial crisis of 2007-2009
AbstractThe empirical research that is presented here deals with the process of contagion in selected capital markets during the financial crisis of 2007–2009. The values of stock market indices provide the most concise information about the situation in the capital market (the German Dax, the French CAC, the British FTSE100 and the Polish WIG20). The definition of contagion which has been adopted here and which is verified by using cospectral analysis assumes that contagion amounts to a significant intensification of lagged reactions (i.e. a phase shift of selected harmonic components). This approach does not assume that frequencies are divided into high and low bands according to a predetermined schema, which means that this division can be different for each pair of the analysed markets. The research that was carried out indicates that rates of return in the studied European markets react simultaneously to a much greater extent as a result of interdependencies than as a result of mutual contagion.
|Journal series||Research in International Business and Finance, ISSN 0275-5319, e-ISSN 1878-3384, (0 pkt)|
|Publication size in sheets||0.75|
|Keywords in English||ContagionTransmission of a financial crisis, Stock market, Comovements, Cospectral analysis|
|Score|| = 0.0, 24-08-2020, ArticleFromJournal|
= 5.0, 24-08-2020, ArticleFromJournal
|Publication indicators||= 16; : 2016 = 1.8|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.