Contagion in international stock markets after subprime mortgage crisis: Is it a reality?
碩士 === 國立高雄第一科技大學 === 風險管理與保險研究所 === 99 === This study adopts a Vector Autoregression (VAR) framework to estimate cross-market correlations and examines whether the contagion effect of the U.S. subprime financial turmoil exist around 32 markets. Regardless of using the conditional (unadjusted) corre...
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| Format: | Others |
| Language: | en_US |
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2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/52460739915900767733 |
| Summary: | 碩士 === 國立高雄第一科技大學 === 風險管理與保險研究所 === 99 === This study adopts a Vector Autoregression (VAR) framework to estimate cross-market correlations and examines whether the contagion effect of the U.S. subprime financial turmoil exist around 32 markets. Regardless of using the conditional (unadjusted) correlation coefficients or the unconditional (adjusted) correlation coefficients, there was virtually no increase in most of the 32 countries (i.e., no contagion) during the subprime mortgage crisis.
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