Contagion within Financial Markets and Networks across the Globe: Evidence from Equity Mutual Funds during the Current Crisis

13 Pages Posted: 13 Oct 2010 Last revised: 17 Mar 2011

See all articles by Rania A. Azmi

Rania A. Azmi

University of Portsmouth, UK

Reginald Smith

Supreme Vinegar LLC

Date Written: October 28, 2010

Abstract

The correlation network amongst a group of twenty mutual funds spread across ten countries in seven different regions is studied. Using techniques from complex networks, it is shown that a chain of transmission can allow large scale volatility and financial turmoil to spread between markets. A key fact that emerges is the rapid spread of the credit crisis amongst previously uncorrelated markets and countries. The correlation network does not cause the transmission chain of collapse in financial assets. The causes are various within the global financial architecture before the onset of the current crisis.

Suggested Citation

Azmi, Rania A. and Smith, Reginald, Contagion within Financial Markets and Networks across the Globe: Evidence from Equity Mutual Funds during the Current Crisis (October 28, 2010). Available at SSRN: https://ssrn.com/abstract=1691157 or http://dx.doi.org/10.2139/ssrn.1691157

Rania A. Azmi (Contact Author)

University of Portsmouth, UK ( email )

Reginald Smith

Supreme Vinegar LLC ( email )

3430 Progress Dr.
Suite D
Bensalem, PA 19020

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