International Financial Contagion During the Subprime Crisis: Evidence from UK Financial Markets

2019 ◽  
Author(s):  
Zijun Liu ◽  
Yang Zhou ◽  
Zhiping Zhou
Keyword(s):  
Financial Markets ◽  
Financial Contagion ◽  
Subprime Crisis

scholarly journals Financial contagion: The impact of the volatility of global stock exchanges on the Lima-Peru Stock Exchange

2020 ◽  
Vol 1 (1) ◽  
pp. 13-27
Author(s):  
Pedro Pablo Chambi Condori
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Stock Exchange ◽  
Market Volatility ◽  
Financial Contagion ◽  
Stock Market Volatility ◽  
Important Indicator ◽  
Dynamic Correlation ◽  
High Volatility ◽  
The Impact

What happens in the international financial markets in terms of volatility, have an impact on the results of the local stock market financial markets, as a result of the spread and transmission of larger stock market volatility to smaller markets such as the Peruvian, assertion that goes in accordance with the results obtained in the study in reference. The statistical evaluation of econometric models, suggest that the model obtained can be used for forecasting volatility expected in the very short term, very important estimates for agents involved, because these models can contribute to properly align the attitude to be adopted in certain circumstances of high volatility, for example in the input, output, refuge or permanence in the markets and also in the selection of best steps and in the structuring of the portfolio of investment with equity and additionally you can view through the correlation on which markets is can or not act and consequently the best results of profitability in the equity markets. This work comprises four well-defined sections; a brief history of the financial volatility of the last 15 years, a tight summary of the background and a dense summary of the methodology used in the process of the study, exposure of the results obtained and the declaration of the main conclusions which led us mention research, which allows writing, evidence of transmission and spread of the larger stock markets toward the Peruvian stock market volatility, as in the case of the American market to the market Peruvian stock market with the coefficient of dynamic correlation of 0.32, followed by the Spanish market and the market of China. Additionally, the coefficient of interrelation found by means of the model dcc mgarch is a very important indicator in the structure of portfolios of investment with instruments that they quote on the financial global markets.

scholarly journals Forecasts, ethics and financial behaviour: Another reading of economic crises

2011 ◽  
Vol 1 (2) ◽  
pp. 7-13
Author(s):  
Miia Parnaudeau ◽  
Elisabeth Paulet
Keyword(s):  
Business Cycles ◽  
Financial Markets ◽  
Final Section ◽  
Subprime Crisis ◽  
Real Economy ◽  
Ethical Practices ◽  
Economic Agents ◽  
Financial Behaviour ◽  
The Uk ◽  
European Economies

The forecasts of economic agents are not without influence on financial markets‟ fluctuations. The recent subprime crisis has shown that incorrect use of information available on the markets added to the creation of complex financial instruments can have major consequences, not only in financial terms, but also on the real economy. Based on a study of three European countries, France, Germany and the UK, the goal of this paper is to assess how more ethical practices among economic agents can reduce the volatility of financial markets and stabilise the business cycles. This should lead to greater stability for European economies. After discussing the various possible forms that the forecasts of economic agents can take, we will study their correlation with business cycles. The final section will be dedicated to formulating various hypotheses and scenarios for explaining speculative cycles and how to control them with more ethical practices.

Contagion or Interdependence in the Financial Markets of Asia, Latin America, and the United States: From Tequila Effect to the Subprime Crisis

2011 ◽  
pp. 93-99
Author(s):  
Emerson Fernandes Marcal ◽  
Pedro L. Valls Pereira ◽  
Diogenes Manoel Leiva Martin ◽  
Wilson Toshiro Nakamura ◽  
Wagner Oliveira Monteiro
Keyword(s):  
United States ◽  
Latin America ◽  
Financial Markets ◽  
The United States ◽  
Subprime Crisis

scholarly journals COVID-19 Pandemic and Financial Contagion

2020 ◽  
Vol 13 (12) ◽  
pp. 309 ◽  
Author(s):  
Julien Chevallier
Keyword(s):  
Financial Markets ◽  
High Frequency ◽  
Value At Risk ◽  
Data Science ◽  
High Frequency Data ◽  
Financial Contagion ◽  
Frequency Data ◽  
Var Models ◽  
Wall Street ◽  
Original Contribution

The original contribution of this paper is to empirically document the contagion of the Covid-19 on financial markets. We merge databases from Johns Hopkins Coronavirus Center, Oxford-Man Institute Realized Library, NYU Volatility Lab, and St-Louis Federal Reserve Board. We deploy three types of models throughout our experiments: (i) the Susceptible-Infective-Removed (SIR) that predicts the infections’ peak on 2020-03-27; (ii) volatility (GARCH), correlation (DCC), and risk-management (Value-at-Risk (VaR)) models that relate how bears painted Wall Street red; and, (iii) data-science trees algorithms with forward prunning, mosaic plots, and Pythagorean forests that crunch the data on confirmed, deaths, and recovered Covid-19 cases and then tie them to high-frequency data for 31 stock markets.

scholarly journals The Arab world amidst the global financial crisis of 2008–2009

2010 ◽  
Vol 3 (1) ◽  
pp. 38-52
Author(s):  
Shalendra D. Sharma
Keyword(s):  
Financial Crisis ◽  
Financial Markets ◽  
Global Financial Crisis ◽  
Arab World ◽  
The United States ◽  
Arab Countries ◽  
Financial Contagion ◽  
Poor Countries ◽  
Resource Poor ◽  
The Global Financial Crisis

When the problems in the United States housing sector mushroomed into a global financial crisis by September 2008, it was assumed that Arab countries would remain immune: the oil-rich Gulf Cooperation Council (GCC) countries because of their massive financial reserves, and the resource-poor countries because of their limited linkages to the global economic system – in particular, the global financial markets. However, this assumption has proven to be false. The US subprime mortgage collapse not only pushed the advanced economies into recession, but also it shattered global economic confidence, resulting in a massive financial contagion around the world. What explains the Arab World's vulnerability to the crisis? How has the crisis impacted both the resource rich and the resource poor? How have Arab countries responded to the crisis, and what must they do to insulate their economies better from the vagaries of global financial markets? This paper addresses these questions.

scholarly journals Modelling Financial Contagion in the South African Equity Markets Following the Subprime Crisis

2019 ◽  
Vol 10 (6A) ◽  
pp. 164-176
Author(s):  
Olivier Niyitegeka ◽  
Dev D. Tewari
Keyword(s):  
Wavelet Analysis ◽  
South African ◽  
Cross Correlation ◽  
The United States ◽  
Equity Market ◽  
Financial Contagion ◽  
Conditional Heteroskedasticity ◽  
Subprime Crisis ◽  
The South ◽  
The Us

This paper used wavelet analysis and Dynamic Conditional Correlations model derived from the Multivariate Autoregressive Conditional Heteroskedasticity (MGARCH-DCC) to investigate the possible presence of financial contagion in the South African equity market in the wake of the subprime crisis that occurred in the United States. The study uses Dornbusch, Park and Claessens’s (2000) broader definition which asserts that financial contagion only takes place if cross-correlation between two markets is relatively low during the tranquil period, and that a crisis in one market results in a substantial increase cross-market correlation. Using wavelet analysis, the study found high levels of correlation during the subprime financial crisis in both smaller and longer timescales. In the former, high correlation was identified as financial contagion, whereas in the latter it was found to indicate co-movement due to financial fundamentals. The high correlation was identified for small scales 3, 4 and 5 that range from a week to one month indicates the presence of contagion. The study also used the MGARCH-DCC model to compare the cross-market correlation between the SA and the US markets, during a ‘pre-crisis’ and ‘crisis’ period. The study used data for the period between January 2005 and December 2007 for the ‘pre-crisis’ period and that for the period from January 2008 to December 2014 for the ‘crisis’ period. The results indicate cross-market linkages only during the crisis period; hence, it was concluded that cross-market correlation during the period of financial turmoil in the US was the result of financial contagion.

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