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Stock market linkages and financial contagion: A cobreaking analysis · Study

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ArticleStock market linkages and financial contagion: A cobreaking analysis

Niklas Ahlgren2009

Article2009

Stock market linkages and financial contagion: A cobreaking analysis

Niklas Ahlgren · Jan Antell

65 citations·0/0 files stored·The Quarterly Review of Economics and Finance

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

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References

1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 2005Market Integration and Contagion 2003A New Approach to Measuring Financial Contagion 2005‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion 2000A New Approach to Measuring Financial Contagion 2003A Primer on Financial Contagion

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2012Evolvement of Uniformity and Volatility in the Stressed Global Financial Village 2015Contagion in CDS, banking and equity markets 2017Financial contagion: review of empirical literature 2011Contagion in International Stock Markets During the sub Prime Mortgage Crisis 2024Interconnectedness and systemic risk: Evidence from global stock markets 2011Regime-Dependent Relationships Among the Stock Markets of the US, Australia, and New Zealand: A Markov Switching VAR Approach

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Year2009

Typearticle

Published2009-12-24

VenueThe Quarterly Review of Economics and Finance

ISSN-L1062-9769

Languageen

Citations65

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.qref.2009.12.004

openalex_workW2013166320

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2021Debt and financial market contagion

2022The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic