Contagion across US and EU financial markets: Evidence from the CDS markets
Journal article
Apergis, Nicholas, Christou, Christina and Kynigakis, Jason 2019. Contagion across US and EU financial markets: Evidence from the CDS markets. Journal of International Money and Finance. https://doi.org/10.1016/j.jimonfin.2019.04.006
Authors | Apergis, Nicholas, Christou, Christina and Kynigakis, Jason |
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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. |
Keywords | Cokurtosis; Correlation; Coskewness; Covolatility; Financial contagion; Financial crisis |
Year | 2019 |
Journal | Journal of International Money and Finance |
Publisher | Elsevier |
ISSN | 02615606 |
18730639 | |
Digital Object Identifier (DOI) | https://doi.org/10.1016/j.jimonfin.2019.04.006 |
Web address (URL) | http://hdl.handle.net/10545/623736 |
http://creativecommons.org/publicdomain/zero/1.0/ | |
hdl:10545/623736 | |
Publication dates | 02 May 2019 |
Publication process dates | |
Deposited | 07 May 2019, 17:25 |
Accepted | 30 Apr 2019 |
Rights | CC0 1.0 Universal |
Contributors | University of Derby, Open University of Cyprus and University of Kent |
File | |
File | File Access Level Open |
File | File Access Level Open |
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https://repository.derby.ac.uk/item/9275z/contagion-across-us-and-eu-financial-markets-evidence-from-the-cds-markets
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