Contagion across US and EU financial markets: Evidence from the CDS markets
MetadataShow full item record
AbstractThis study investigates whether contagion occurred during the recent global financial crisis across EU and US financial markets. The methodology used to test for contagion is the Forbes and Rigobon cross-correlation test, the Li and Zhu non-parametric test, the Fry et al. coskewness test and the Hsiao cokurtosis and covolatility tests. These tests are applied to a set of bank sector CDS, insurance sector CDS, sovereign bonds, equity and volatility indices. The findings indicate significant evidence of contagion, especially through the channels of higher order moments.
CitationApergis, N., Christou, C., and Kynigakis, J. (2019) 'Contagion across US and EU financial markets: Evidence from the CDS markets'. Journal of International Money and Finance, 96, pp. 1-12. DOI: 0.1016/j.jimonfin.2019.04.006.
JournalJournal of International Money and Finance
The following license files are associated with this item: