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Contagion between United States and european markets during the recent crises

Author
Muñoz, M.P.; Márquez, D.; Sanchez, J.
Type of activity
Journal article
Journal
AESTIMATIO, the IEB International Journal of Finance
Date of publication
2011-07
Volume
2011
Number
2
First page
2
Last page
25
DOI
https://doi.org/10.5605/ieb Open in new window
Repository
http://hdl.handle.net/2117/106121 Open in new window
https://mpra.ub.uni-muenchen.de/35993/1/MPRA_paper_35993.pdf Open in new window
Abstract
The main objective of this paper is to detect the existence of financial contagion between the North American and European markets during the recent crises. To accomplish this, the relationships between the US and the Euro zone stock markets are considered, taking the daily equity prices of the Standard and Poor’s 500 as representative of the United States market and for the European market, the five most representative indexes. Time Series Factor Analysis (TSFA) procedure has allowed concentr...
Citation
Muñoz, M.P., Márquez, D., Sanchez-Espigares, J. Contagion between United States and european markets during the recent crises. "AESTIMATIO, the IEB International Journal of Finance", Juliol 2011, vol. 2011, núm. 2, p. 2-25.
Keywords
Contagion, Dynamic Conditional Correlation, Financial Markets, Macroeconomic variables, Markov Switching Model, Time Series Factor Analysis
Group of research
ADBD - Analysis of Complex Data for Business Decisions

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