Stock market contagion and financial integration

Arnulfo Castellanos Moreno, Luis Rentería Guerrero

Research output: Chapter in Book/Report/Conference proceedingChapter

Abstract

The global financial crisis that took place during the period 2007-2008 had its most prominent manifestation in the general stock market crash. This could be
studied from the perspective of financial contagion, using a mathematical tool known as wavelets.The study aims to assess the impact of the U.S. stock market crash on other stock markets all over the world. As an initial point the assumption that the former was the epicenter of the global financial crisis stands out. In order to determine the existence of differentiated impacts that show the presence of inertial factors in different stock exchange markets, a filtering technique on stock
market indexes to assess such impacts is used. The data series are worked out on different time scales in order to identify short and long term effects.
Original languageAmerican English
Title of host publicationNew Challenges, new methodologies
PublisherPearson
Chapter3
Pages46-59
Edition1
ISBN (Print)978607320867
StatePublished - 2011

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    Arnulfo Castellanos Moreno, & Luis Rentería Guerrero (2011). Stock market contagion and financial integration. In New Challenges, new methodologies (1 ed., pp. 46-59). Pearson .