Show simple item record

dc.contributor.authorApergis, Nicholas
dc.contributor.authorChristou, Christina
dc.contributor.authorKynigakis, Jason
dc.date.accessioned2019-05-07T17:25:50Z
dc.date.available2019-05-07T17:25:50Z
dc.date.issued2019-05-02
dc.identifier.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.en_US
dc.identifier.issn02615606
dc.identifier.doi10.1016/j.jimonfin.2019.04.006
dc.identifier.urihttp://hdl.handle.net/10545/623736
dc.description.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.en_US
dc.description.sponsorshipN/Aen_US
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.relation.urlhttps://www.sciencedirect.com/science/article/pii/S0261560619302384en_US
dc.rightsCC0 1.0 Universal*
dc.rights.urihttp://creativecommons.org/publicdomain/zero/1.0/*
dc.subjectCokurtosisen_US
dc.subjectCorrelationen_US
dc.subjectCoskewnessen_US
dc.subjectCovolatilityen_US
dc.subjectFinancial contagionen_US
dc.subjectFinancial crisisen_US
dc.titleContagion across US and EU financial markets: Evidence from the CDS marketsen_US
dc.typeArticleen_US
dc.identifier.eissn18730639
dc.contributor.departmentUniversity of Derbyen_US
dc.contributor.departmentOpen University of Cyprusen_US
dc.contributor.departmentUniversity of Kenten_US
dc.identifier.journalJournal of International Money and Financeen_US
dcterms.dateAccepted2019-04-30
dc.author.detail786373en_US


Files in this item

Thumbnail
Name:
Publisher version
Thumbnail
Name:
Apergis_Christou_Kynigakis_Con ...
Size:
779.2Kb
Format:
PDF

This item appears in the following Collection(s)

Show simple item record

CC0 1.0 Universal
Except where otherwise noted, this item's license is described as CC0 1.0 Universal