Contagion in International Stock Markets during the Sub Prime Mortgage Crisis

Authors

  • Hsien-Yi Lee

Abstract

The sub prime mortgages crises took place in July, 2007 in US which causes the large scare in the global financial markets, and the international stock and foreign market suffer heavy shock. Using twenty international stock indexes, this study examines whether any contagion effect occurred across international markets after the sub-prime financial mortgage crisis in US. Using the heteroscedasticity biases based on correlation coefficients to examine the existence of the contagion effect, this study shows that stock markets of some countries (namely Hong Kong, Taiwan, Australia and New Zealand) did suffer from the contagion effect.

Keywords: Contagion effect; Sub prime mortgage; Correlation coefficients; Stock markets, Financial crises

JEL Classification: F21; F32; G15

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Author Biography

Hsien-Yi Lee

Associate ProfessorDepartment of Business Administration,Cheng Shiu University

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Published

2011-12-02

How to Cite

Lee, H.-Y. (2011). Contagion in International Stock Markets during the Sub Prime Mortgage Crisis. International Journal of Economics and Financial Issues, 2(1), 41–53. Retrieved from https://www.econjournals.com/index.php/ijefi/article/view/87

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