Revista Egitania Sciencia - Volume 16 | ARTICLE

Title: ANALYSIS OF THE CONTAGION AMONG INTERNATIONAL STOCK MARKETS IN THE CONTEXT OF THE GLOBAL FINANCIAL CRISIS

Author: Vitor Manuel de Sousa Gabriel *, José Ramos Pires Manso**
*Professor do Instituto Politécnico da Guarda, ** Professor da Universidade da Beira Interior
Publication: Revista Egitania Sciencia - Volume 16

Abstract:
This paper examines the impact of the global financial crisis in terms of contagion between stock markets. To this end, twelve of the largest European and non-European stock exchange markets were selected, and the period from 10/04/1999 to 30/06/2011was chosen. So that we could identify the occurrence of the contagion effect, we used the exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model. In order to understand if the coefficients recorded in the Global Financial Crisis sub period differ from those recorded in previous sub-periods, we used correlation coefficient tests. The obtained findings reveal that the correlation coefficients increased significantly in the last sub-period, confirming the existence of contagion effects among the studied stock markets.

Keywords: global financial crisis, international stock markets, EGARCH, contagion effect




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