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Title: Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis
Authors: Mothi, Wahbeeah
Dionísio, Andreia
Vieira, Isabel
Ferreira, Paulo
Keywords: copula models
financial contagion
financial crisis
frontier markets
Issue Date: 2019
Publisher: MDPI
Citation: Mothi, W; Dionísio, A.; Ferreira, P. and Vieira, I. (2019) “Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis”. Economies, MDPI, 7, 15. (
Abstract: This study assesses contagion from the USA subprime financial crisis on a large set of frontier stock markets. Copula models were used to investigate the structure of dependence between frontier markets and the USA, before and after the occurrence of the crisis. Statistically significant evidence of contagion could only be found in the European region, with the markets of Croatia and Romania being affected. The remaining European markets in our sample and the others, located in America, Middle East, Africa, and Asia, appear to have been isolated from the subprime crisis impact. These results are useful for international investors interested in enlarging the geographical diversification of their portfolios, but also for the considered countries’ policymakers who should attempt to improve the attractiveness of stock markets for domestic and foreign investors while simultaneously attempting to maintain their relative level of insulation against future foreign crises.
Type: article
Appears in Collections:CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica

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