Measuring financial contagion in the stock markets using a copula approach. (1st January 2012)

• Record Type: Journal Article
• Authors: Jayech, Selma; Zina, Naceur Ben
• Is Part Of: International journal of data analysis techniques and strategies. Volume 4:Number 2(2012)
• Page Start: 154
• Page End: 180
• Publication Date: 2012-01-01
• Subjects: financial contagion -- copulas -- spearman's ρ -- Kendall's τ, lower tail -- upper tail -- USA -- UK -- France -- Germany; Electronic data processing -- Periodicals; Database searching -- Periodicals; 005
• Languages: English
• ISSNs: 1755-8050

Abstract

The US financial crisis has underlined the fact that markets tend to be more dependent during the crisis than they are during the pre-crisis periods. This situation is usually referred to as contagion, a notion which has recently attracted the attention of several researchers working on finance due to its dramatic effects. Indeed, in our study, we use the copula theory to analyse the financial contagion between stock markets of four developed countries (USA, UK, France and Germany). The market indexes used are S&P 500 (USA), FTSE 100 (UK), CAC 40 (France) and DAX 30 (Germany) covering the period from 1 January 2004 to 27 August 2010. This paper finds evidence of a changing dependence during the turmoil periods. Hence, the existence of financial contagion.