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.
Author: | Dobromil Serwa |
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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 |