Contagion in the stock markets: the 2007 subprime financial crisis. (7th April 2011)

• Record Type: Journal Article
• Authors: Jayech, Selma; Sadraoui, Tarek; Zina, Naceur Ben
• Is Part Of: International journal of managerial and financial accounting. Volume 3:Number 2(2011)
• Page Start: 170
• Page End: 187
• Publication Date: 2011-04-07
• Subjects: subprime financial crisis -- financial contagion -- nonlinear error correction models -- subprime crisis -- shock distribution -- stock markets -- France -- Germany -- UK -- United Kingdom -- Japan; Accounting -- Periodicals; Managerial accounting -- Periodicals; 657.05
• Languages: English
• ISSNs: 1753-6715

Abstract

In this article, we test the presence of financial contagion during the subprime mortgage crisis of 2007. For this purpose, we propose a new procedure for testing the non-linearity of the mechanisms of the shock distribution estimated through a model of long-term interdependence. We apply this methodology to the stock markets. Our empirical study shows the contamination of France, Germany, the UK and Japan.