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.
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 language | American English |
|---|---|
| Title of host publication | New Challenges, new methodologies |
| Publisher | Pearson |
| Chapter | 3 |
| Pages | 46-59 |
| Edition | 1 |
| ISBN (Print) | 978607320867 |
| State | Published - 2011 |