Spillover Effects from the US Financial Crises: Some Time-Series Evidence from National Stock Returns

Apanard Penny Angkinand · James R. Barth · Hyeongwoo Kim

17 citations0/0 files storedEdward Elgar Publishing eBooks

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Global Financial Crisis and Policies Financial Risk and Volatility Modeling Market Dynamics and Volatility

Abstract

The 2007 financial and economic crisis that began in the United States and quickly spread around the world differed from earlier crises in a number of significant ways. This book examines the causes of these events in the US, and their impacts on North America, Europe, Asia and Australia.

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References

1980Macroeconomics and Reality 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1989Transmission of Volatility Between Stock Markets 2005Market Integration and Contagion 1999No Contagion, Only Interdependence: Measuring Stock Market Co-movements 2005International Stock Return Comovements 2004Trade, Finance, Specialization, and Synchronization

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2013The aftermath of the subprime crisis: a clustering analysis of world banking sector 2017Tracing dynamic linkages and spillover effect between Pakistani and leading foreign stock markets

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