The contagion channels of July–August-2011 stock market crash: A DAG-copula based approach

Volume: 249, Issue: 2, Pages: 631 - 646
Published: Mar 1, 2016
Abstract
The objective of this paper is to empirically investigate whether there is a contagion phenomenon between the stock markets during the July–August-2011 stock market crash. When there is a market contagion, we will identify the propagation channel through which the crash is transmitted. Hence, after checking if there is financial contagion between the stock markets, we will see if the transmission mechanism “constraints of wealth” outweighs that...
Paper Details
Title
The contagion channels of July–August-2011 stock market crash: A DAG-copula based approach
Published Date
Mar 1, 2016
Volume
249
Issue
2
Pages
631 - 646
Citation AnalysisPro
  • Scinapse’s Top 10 Citation Journals & Affiliations graph reveals the quality and authenticity of citations received by a paper.
  • Discover whether citations have been inflated due to self-citations, or if citations include institutional bias.