出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：This paper analyzes the contagion effects of the Greek stock market to the European stock markets of Belgium,France, the Netherlands and Portugal,in the context of the 2010 sovereign debt crisis.The authors perform two tests of contagion using copula models.The first test assesses the existence of contagion on the relevant markets and the second compares contagion intensity during the 2008 subprime crisis and the 2010 European sovereign debt crisis. Results of the first test suggest that contagion exists only in the Portuguese stock market.The other three markets in the sample show interdependence but no contagion.The second test shows that the contagion effects of the 2008 subprime crisis are clearly more intense than those caused by the 2010 sovereign debt crisis.These results provide useful information to market participants.In particular,securities regulators can better understand stock markets crises to take adequate measures to mitigate or prevent contagion episodes.
关键词：financial contagion;2010 European sovereign debt crisis;2008 subprime crisis;stock markets;copula theory
