Contagion across US and EU financial markets: Evidence from the CDS markets
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Abstract
This 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.Citation
Apergis, 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.Publisher
ElsevierJournal
Journal of International Money and FinanceDOI
10.1016/j.jimonfin.2019.04.006Additional Links
https://www.sciencedirect.com/science/article/pii/S0261560619302384Type
ArticleLanguage
enISSN
02615606EISSN
18730639ae974a485f413a2113503eed53cd6c53
10.1016/j.jimonfin.2019.04.006
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