Financial Contagion Vulnerability: A Comparison of European Capital Markets

Postgraduate Research Programme Working Paper No. 5/2003

18 Pages Posted: 24 Nov 2003

See all articles by Dobromil Serwa

Dobromil Serwa

European University Viadrina Frankfurt (Oder) - Department of Economics

Martin T. Bohl

University of Muenster

Date Written: October 2003

Abstract

This paper investigates contagion to European capital markets associated with seven big financial shocks between 1997 and 2002. We apply a technique using heteroscedasticity adjusted correlation coefficients to discriminate between contagion and interdependence. The analysis focuses on a comparison between developed Western European markets and emerging capital markets in Central and Eastern Europe. We find little evidence of significant increases in cross-market linkages after the crises under investigation. The Central and Eastern European capital markets are not more vulnerable to contagion than Western European markets.

Keywords: Financial Contagion, financial crises, Western, Central and Eastern European stock markets, adjusted correlation coefficient

JEL Classification: G15, C12

Suggested Citation

Serwa, Dobromil and Bohl, Martin T., Financial Contagion Vulnerability: A Comparison of European Capital Markets (October 2003). Postgraduate Research Programme Working Paper No. 5/2003, Available at SSRN: https://ssrn.com/abstract=459265 or http://dx.doi.org/10.2139/ssrn.459265

Dobromil Serwa

European University Viadrina Frankfurt (Oder) - Department of Economics ( email )

Grosse Scharrnstr. 59
D-15230 Frankfurt (Oder)
Germany
+49 335 55 34 2935 (Phone)

Martin T. Bohl (Contact Author)

University of Muenster ( email )

Schlossplatz 2
D-48149 Muenster, D-48149
Germany

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