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Equity market contagion during the global financial crisis: Evidence from the world's eight largest economies

Dungey, Mardi; Gajurel, Dinesh

Description

The global financial crisis (2007-2009) saw sharp declines in stock markets around the world, affecting both advanced and emerging markets. In this paper we test for the existence of equity market contagion originating from the US to advanced and emerging markets during the crisis period. Using a latent factor model, we provide strong evidence of contagion effects in both advanced and emerging equity markets. In the aggregate equity market indices, contagion from the US explains a large portion...[Show more]

CollectionsANU Research Publications
Date published: 2014
Type: Journal article
URI: http://hdl.handle.net/1885/70841
Source: Economic Systems
DOI: 10.1016/j.ecosys.2013.10.003

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