Skip navigation
User training | Reference and search service

Library catalog

Retrievo
EDS
b-on
More
resources
Content aggregators
Please use this identifier to cite or link to this item:

acessibilidade

http://hdl.handle.net/10071/12172
Full metadata record
acessibilidade
DC FieldValueLanguage
dc.contributor.authorHorta, P.-
dc.contributor.authorLagoa, S.-
dc.contributor.authorMartins, L.-
dc.date.accessioned2016-12-06T17:05:59Z-
dc.date.available2016-12-06T17:05:59Z-
dc.date.issued2016-
dc.identifier.issn1469-7688-
dc.identifier.urihttp://hdl.handle.net/10071/12172-
dc.description.abstractUnderstanding how financial crises spread is important for policy-makers and regulators in order to take adequate measures to prevent or contain the spread of these crises. This paper will test whether there was contagion of the subprime financial crisis to the European stock markets of the NYSE Euronext group (Belgium, France, the Netherlands and Portugal) and, if evidence of contagion is found, it will determine the investor-induced channels through which the crisis propagated. We will use copula models for this purpose. After assessing whether there is evidence of financial contagion in the stock markets, we will examine whether the ‘wealth constraints’ transmission mechanism prevails over the ‘portfolio rebalancing’ channel. An additional test looks at the interaction between stock and bond markets during the crisis and allows us to determine if the transmission occurred due to the ‘cross market rebalancing’ channel or the ‘flying to quality’ phenomenon. The tests suggest that (i) financial contagion is present in all analyzed stock markets, (ii) a ‘portfolio rebalancing’ channel is the most important crisis transmission mechanism, (iii) and the ‘flight-to-quality’ phenomenon is also present in all analyzed stock markets.eng
dc.language.isoeng-
dc.publisherRoutledge/Taylor and Francis-
dc.relationinfo:eu-repo/grantAgreement/FCT/5876/147301/PT-
dc.relationinfo:eu-repo/grantAgreement/FCT/5876/147442/PT-
dc.rightsembargoedAccesspor
dc.subjectFinancial contagioneng
dc.subjectContagion channelseng
dc.subject2008 financial crisiseng
dc.subjectStock marketseng
dc.subjectCopula modelseng
dc.titleUnveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulaseng
dc.typearticle-
dc.pagination625 - 637-
dc.publicationstatusPublicadopor
dc.peerreviewedyes-
dc.journalQuantitative Finance-
dc.distributionInternacionalpor
dc.volume16-
dc.number4-
degois.publication.firstPage625-
degois.publication.lastPage637-
degois.publication.issue4-
degois.publication.titleUnveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulaseng
dc.date.updated2019-03-07T14:39:39Z-
dc.description.versioninfo:eu-repo/semantics/publishedVersion-
dc.identifier.doi10.1080/14697688.2015.1033447-
dc.subject.fosDomínio/Área Científica::Ciências Naturais::Matemáticaspor
dc.subject.fosDomínio/Área Científica::Ciências Sociais::Economia e Gestãopor
dc.subject.fosDomínio/Área Científica::Ciências Sociais::Sociologiapor
iscte.subject.odsTrabalho digno e crescimento económicopor
iscte.identifier.cienciahttps://ciencia.iscte-iul.pt/id/ci-pub-26530-
iscte.alternateIdentifiers.wosWOS:000371695500002-
iscte.alternateIdentifiers.scopus2-s2.0-84961212935-
Appears in Collections:BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica
DINÂMIA'CET-RI - Artigo em revista científica internacional com arbitragem científica

Files in This Item:
acessibilidade
File Description SizeFormat 
Horta_et_al__2015_.pdfVersão Editora443.87 kBAdobe PDFView/Open    Request a copy


FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpace
Formato BibTex MendeleyEndnote Currículo DeGóis 

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.