Nonlinearities and financial contagion in Latin American stock markets

Latin American stock market dynamics and comovement

“…The 6-and 4year rolling windows appear to reassure this pattern of increasing comovement apex during periods of economic and financial distress. These initial findings seem to be in line with studies from De Barba and Ceretta (2011), Forbes and Rigobón (2001), Romero-Meza, Bonilla, Benedetti, and Serletis (2015), and Coronado, Rojas, Romero-Meza, and Venegas-Martínez (2015), who also identify this behavioural pattern within Latin American countries. As most studies in this area traditionally include the United States, we also present the results by including it; however, the analysis augmented by the U. S. market does not appear to increase or decrease the comovement between the seven stock exchanges with marginal differences being noticeable when analysing the rolling windows.…”

Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes

“…A large part of the literature has focused on financial crises, such as the GFC and ESDC, with several studies investigating contagion and financial linkages in multiple frameworks, such as cross-country (Alexakis et al, 2016;Dimitriou et al, 2017Kalbaska and Gatkowski, 2012;Ludwig, 2014;Mollah et al, 2016;Neaime, 2016;Romero-Meza et al, 2015;Suh, 2015;Wang et al, 2017), crossindustry (Kenourgios and Dimitriou, 2015), cross-asset (Aloui et al, 2015;Leung et al, 2017;Tamakoshi and Hamori, 2014a) or some combination. A variety of asset classes has been examined including equity indices (Bhatti and Nguyen, 2012;Kenourgios et al, 2016;Luchtenberg and Vu, 2015;Pappas et al, 2016;Romero-Meza et al, 2015;Wang et al, 2017;Yang and Hamori, 2013;Ye et al, 2017), CDS spreads (Broto and Pérez-Quirós, 2014;Kenourgios and Padhi, 2012;Tamakoshi and Hamori, 2016, 2014b, 2013aWang and Moore, 2012), bond markets (Claeys and Vašíček, β014;Coudert and Gex, 2010), implied volatility markets (Kenourgios, 2014), exchange rates Khalid and Rajaguru, 2007;Leung et al, 2017), individual stocks (Tamakoshi and Hamori, 2013b) and commodities (Aboura and Chevallier, 2015;Algieri and Leccadito, 2017;Gozgor et al, 2016) among others.…”

Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis

“…The many published evaluations of financial contagion vary in terms of methodological approach and geographical focus (for a review of early studies, see Horta et al 2010). Relatively recent assessments have focused on the 2007/08 financial crisis with origin in the USA and on its contagion to the markets of various countries: the so-called BRICs (Brazil, Russia, India and China) (Mensi et al 2016), countries in Latin America (Romero-Meza et al 2015), Middle East and North Africa (Neaime 2012), Asia (Khan and Park 2009), or Central and Eastern Europe (Demian 2011). Fry et al (2010) used co-skewness based tests to detect contagion channels that could not be identified in correlation assessments.…”