Quantitative measurement of contagion effects during a Global Financial Crisis: Evidence from selected countries

Abstract

This paper investigates the existence and extent of contagion effects among international stock markets during the Global Financial Crisis (GFC), and if these financial contagion effects exist, it explores the differences of contagion effects in different sub-periods of pre, during, and post Global Financial Crisis. In a financial definition, the “domino effect” among international stock markets has been referred to as contagion, which draws much academic attention nowadays. Investigating contagion effects among stock markets helps us to study the inner relationship among global stock markets and to further prevent the devastating impact of similar catastrophes such as the Global Financial Crisis.