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Empirical evidence on financial spillovers and contagion to international stock markets

Empirische Analyse der "financial spillovers" und "contagion" auf den Internationalen Aktienmärkten

  • In this thesis different definitions of financial contagion are explored. These definitions are applied to test for evidence of contagion on a number of stock markets and during several turbulent periods. First, we investigate the question whether emerging stock markets are more or less vulnerable to large financial shocks than developed capital markets. Second, this study analyzes how significant financial turmoil can change the direction and strength of spillovers between a mature calm market and emerging crisis markets. Additionally, we explore the direction of spillovers and contagion effects between two crisis markets during the same turbulent period. Third, dynamic dependencies between mature stock markets are explored to learn how the strength of spillovers changes in tranquil and turbulent times and how crisis markets are influenced by the leading stock market.
  • Diese Arbeit enthalt eine Beschreibung und empirische Analyse der Verbindungen zwischen Internationalen Aktienmärkten in stillen und turbulenten Zeiten. "Contagion" und "financial spillovers" werden definiert und analysiert.

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Metadaten
Author:Dobromil Serwa
URN:urn:nbn:de:kobv:521-opus-209
Advisor:Martin T. Bohl
Document Type:Doctoral Thesis
Language:English
Date of Publication (online):2007/05/02
Publishing Institution:Europa-Universität Viadrina Frankfurt
Granting Institution:Europa-Universität Viadrina Frankfurt, Wirtschaftswissenschaftliche Fakultät
Date of final exam:2005/12/13
Release Date:2007/05/02
Tag:Empirische Analyse
Contagion; causality; crises; financial spillovers; regimes
GND Keyword:Aktienportfolio; Internationaler Finanzmarkt
Institutes:Wirtschaftswissenschaftliche Fakultät / Wirtschaftswissenschaftliche Fakultät
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
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