Search Results - subject_exact:"Contagion effect"

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The self-contagion effect of a stock crash on the market response of the auditor's other client

Yoon, Seonju; Kim, Suyon - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015442890

The spillover effect between credit ratings : COVID-19 crisis perspective

Chodnicka-Jaworska, Patrycja; Obeid, Hassan; Jaworski, Piotr - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014507879

Green bond market performance : does investor sentiment contagion matter?

Le Thuy Duong Ha; Hoque, Ariful; Le, Thi - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618423

Systemic risk transmission in commodity markets

Georgescu, Irina - 2026

This paper investigates tail-risk transmission and asymmetric dependence in commodity markets using an asymmetric fuzzy vine copula framework applied to gold, crude oil, natural gas, and silver from 1 January 2015 to 1 January 2025, extracted from Yahoo Finance. Bootstrap-based trapezoidal fuzzy...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614141

Liquidity spirals

Wiersema, Garbrand; Kemp, Esti; Farmer, J. Doyne - 2026

The financial crisis of 2007-2008 highlighted the risks that liquidity spirals pose to financial stability. We introduce a novel method for studying liquidity spirals and use this method to identify spirals before stock prices plummet and funding markets lock up. We show that liquidity spirals...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015592365

Contagious prejudice : the marocchinate

Ghidoni, Riccardo; Schindler, David - 2026

During World War II, French Moroccan troops performed numerous acts of (sexual) violence against the Italian population, known in Italy as the Marocchinate. We demonstrate that these events led to contagion in prejudice: They triggered a pronounced shift to the far right following the recent...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015586703

When banks and insurers move together : why systemic risk lives in the tails?

Benlaghaa, Noureddinne; Shafiqa, Fahad; Al-Derhamand, … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015592004

Dynamic connectiveness and time‑varying contagion risks amongst East African stock markets

Irangi, Arnold Gideon; Muzindutsi, Paul-Francois; … - 2026

Regional financial integration in East Africa remains shallow, yet contagion risks persist due to market fragility and illiquidity. Using daily data from 2014 to 2025 from the Nairobi Securities Exchange (NSE), Dar es Salaam Stock Exchange (DSE), Rwanda Stock Exchange (RSE), and Uganda...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638963

Contagion and default risks in derivative pricing : a Hawkes-based model

Agana, Francis; Maré, Eben - 2026

Modern financial systems do not exist in isolation but form part of a complex global network of interconnected financial systems. This globalization of financial systems significantly increases the risk of contagion in financial markets, impacting asset prices and other important economic...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638968

Time-varying global financial stress contagion in a decade of trade wars and geopolitical fractures

Tabash, Mosab I.; Issa, Suzan Sameer; Alnahhal, Mohammed; … - 2026

The objective of this study is to explore the time-varying shock transmission mechanism between aggregated financial stress indices (FSIs) of developed economies (the U.S., the U.K., the European Union (EU) and Japan) and the emerging economy of China. We employ a novel Time-Varying Parameter...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639096

Critical regimes of systemic risk : flow network cascades in the U.S. banking system

Montañez Jacquez, Samuel; Quezada Téllez, Luis Alberto; … - 2026

Systemic risk in banking systems arises from losses transmitted through networks of contractual exposures. Yet, most widely used measures rely on market-implied volatility and equity prices rather than structural balance sheet fragilities. This paper develops a flow network framework that models...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639141

Sectoral interconnectedness in the euro area economies : insights from network analysis

Serrano, Antonio Sánchez - 2026

Using who-to-whom data for the last quarter of 2024, I build networks of financial interconnections in the euro area countries. After representing them in chord diagrams, I consider centrality metrics and find that banks dominate, with four exceptions: Cyprus, Ireland, Luxembourg and Malta. In...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640960

The integration-contagion paradox : global linkages and crisis transmission in South Asian stock markets

Gajurel, Dinesh; Thapa, Bharat Singh - 2026

This study examines financial integration and contagion across South Asia's emerging and frontier markets during the 2001-2013 period, encompassing both the global financial and Eurozone crises. Employing a multi-factor asset pricing model within an EGARCH framework, we disentangle systematic...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015652114

Social network and sentiment contagion : evidence from the bitcoin market

Han, Bing; Liu, Haoyang; Sui, Pengfei - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015653567

Oil market uncertainty and financial stability in energy-dependent Europe

Özbek, Gökhan Berk; Şeyranlıoğlu, Onur - 2026

This study examines how oil market uncertainty influences stock market integration among four major energy-dependent European economies (France, Germany, Italy, and Spain). Oil uncertainty is proxied by the CBOE Crude Oil Volatility Index (OVX), a forward-looking implied volatility measure....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015653682

Corporate financial distress and equity market contagion : evidence from energy sector collapses in the U.S. stock market

Al Mustanyir, Salem - 2026

This study provides the first empirical analysis of how energy-sector corporate filing events transmit to financial markets, bridging a critical gap between corporate financial distress literature and commodity market dynamics. The analysis employs an event study methodology with Wilcoxon...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015653758

Interdependence and contagion effects in agricultural commodities markets : a bibliometric analysis, implications, and insights for sustainable development

Santana, Thiago Pires; Horta, Nicole Rebolo; Ramos, … - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014492190

Further evidence of contagion effect between the Chinese and the G20 stock markets during the COVID-19 pandemic : a time-varying copula approach

Sghaier, Nadia; Kouki, Mondher; Ben Messaoud, Samia - 2023

This paper examines the presence of a contagion effect between Chinese and G20 stock markets as well as its intensity over a recent period from 1st January 2013 to 7 April 2022. The empirical study is conducted using the time-varying copula approach. The obtained results show strong evidence of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014500850

Are CLO markets that contagious? : evidence from COVID-19 induced sell-off in the financial markets

Fadina, Tolulope; Agudze, Komla; Iwuagwu, Chikaodinaka - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015485852

Systemic risks and multilayer financial networks : from contagion to mitigation

Quirici, Maria Cristina; Moro Visconti, Roberto - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015101819

The impact of inflation and financial stability on the European financial system : a network approach

Sánchez-García, Javier; Cruz Rambaud, Salvador - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015101820

The dynamics of crypto markets and the fear of risk contagion

Aliano, Mauro; Ferrara, Massimiliano; Ragni, Stefania - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015101890

Bank diversity and financial contagion

Caiazzo, Emmanuel; Zazzaro, Alberto - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015324030

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Bank diversity and financial contagion

Caiazzo, Emmanuel; Zazzaro, Alberto - 2023

Book / Working Paper

Bank Diversity and Financial Contagion

Caiazzo, Emmanuel; Zazzaro, Alberto - 2023

Book / Working Paper

Reassessment of structural changes in financial markets : the direct impact of central banks

Miró, Damià Rey; Piffaut, Pedro V.; Zurdo, Ricardo Palomo - 2025

The evidence of financial globalization and the rapid and uniform contagion that it entails among the different international financial markets, have been exposed after the 2008 crisis outbreak, as well as the different chapters of financial stress that have been experienced since then, such as...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015375716

Analysing the impacts of unscheduled news events on stock market contagion during the epidemic

Zhang, Yi; Zhou, Long; Wu, Baoxiu; Liu, Fang - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015337902

Who is smarter? : evidence from extreme financial risk contagion in hedge funds and mutual funds

Changqing, Luo; Fu, Xinxin; Chen, Carl R.; Dong, Liang - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338094

Systemic risk in markets with multiple central counterparties

Veraart, Luitgard A. M.; Aldasoro, Iñaki - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015359037

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Systemic risk in markets with multiple central counterparties

Veraart, Luitgard A. M.; Aldasoro, Iñaki - 2022

Book / Working Paper

Text spillover : measuring connectedness of financial institutions based on news text data

Klaucke, Konstantin - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015359881

Financial instability transition under heterogeneous investments and portfolio diversification

Forer, Preben; Budnick, Barak; Vivo, Pierpaolo; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015419602

Clustered network connectedness : a new measurement framework with application to global equity markets

Buchwalter, Bastien; Diebold, Francis X.; Yılmaz, Kamil - 2025 - This draft: February 21, 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015424001

Systemic risk contagion and bailout effects in the global financial system

Qi, Ming; Zhang, Jiawei; Shi, Danyang; Feng, Shaoyi; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015463533

The impact of uncertainties on contagions in energy market risk networks : evidence from synthesizing multiple-order moments and multiple time horizons

Wang, Xinya; Vigne, Samuel A.; Huang, Shupei - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015465790

Systemic financial risk analysis of the U.S. based on the complex network

Qiu, Yujiao; Sun, Xiaolei; Xiong, Xiong; Si, Shubin - 2025

This paper proposes a new framework for measuring systemic financial risk, which combines the Diebold and Yilmaz spillover index model, complex network, and dimensionality reduction method. This framework simulates the process of risk contagion through network dynamics, accounting for the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015467352

Contagion or decoupling? : evidence from emerging stock markets

Bonga-Bonga, Lumengo; Ndiweni, Zinzile Lorna - 2025

This paper uses a statistical test based on entropy theory to propose a new way to distinguish between interdependence, contagion, and the decoupling hypotheses in the context of shock transmission and spillover. Applying the proposed approach, the three hypotheses are examined when measuring...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015467367

Economic crisis contagion in the eurozone : results from cross-quantilogram and network approach

Beck, Krzysztof; Grabowski, Wojciech - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015471136

Correspondent banking, systemic risk, and the panic of 1893

Cotter, Christopher; Rousseau, Peter L. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015471214

Contagion effects in financial markets : influence of green finance and energy sectors during global crises

Khemakhem, Imen; Gallas, Salma; Aissi, Amen - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015472257

Understanding network interdependence and contagion across East Asian markets : background, the East Asian financial crisis and institutional responses

Bhattacharjee, Arnab; Bhattacharya, Sujoy; Muthoo, Abhinay - 2025

We estimate network spillovers across East Asian equity markets based on data on index returns to locate markets where equity shocks arise and where they impact. Focussed upon the context of the 1997 East Asian market crisis, our analysis explains why some markets were affected more than others....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015472315

Productive misallocation and international transmission of credit shocks

Imura, Yuko; Thomas, Julia K. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015473014

Research on sovereign credit and international banking industry tail risk contagion : perspective from double-layer complex network

Xiao-Li, Gong; Zhuo-Cheng, Wu; Xiong, Xiong; Zhang, Wei - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015453868

Uncovering systemic risk in ASEAN corporations : a framework based on graph theory and hidden models

Cortés Rufé, Marc; Martí Pidelaserra, Jordi; … - 2025

In the context of an ever-evolving global economy, ASEAN companies face dynamic systemic risk that reshapes their financial interrelationships. This study examines the transmission of these risks using advanced graph theory techniques, particularly the measurement of eigenvector centrality based...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408941

Idiosyncratic contagion between ETFs and stocks : a high dimensional network perspective

Wang, Yu; Sun, Yiguo - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015432284

Assessing contagion in oil markets across eight crisis episodes

Liu, Baiyu; Hsiao, Cody Yu-Ling; Chen, Hsing Hung; Li, … - 2025

This study investigates contagion across oil markets in 22 countries during eight crisis episodes from 2007 to 2023 using linear, asymmetric, and extremal dependence tests alongside network analysis. The combination of these methods provides a comprehensive approach to understanding the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015458312

Tests of global flights to safety with US financial firm bankruptcy announcements

Kallenos, Theodosis L.; Papakyriakou, Panayiotis; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015458845

Nestedness and systemic risk in financial networks

Alexandre, Michel; Xavier, Felipe Jordão; Silva, … - 2025

In this paper, we explore the relationship between node nestedness contribution and network stability in financial networks. We rely on data from the Brazilian interbank market. For each bank in the network, we computed the individual nestedness contribution (INC), along with two measures of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015441508

The collapse of Silicon Valley Bank and Credit Suisse and their impact on other U.S. Banks

Martins, António Miguel - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015444628

Shockwaves across borders : did the 2023 banking crisis reshape global banking sector linkages?

Huang, Chun-Sung; Charteris, Ailie - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015550903

Higher-order exposures

Wiersema, Garbrand; Kleinnijenhuis, Alissa M.; Kemp, Esti; … - 2025

Traditional exposure measures focus on direct exposures to evaluate the losses an institution is exposed to upon the default of a counterparty. Since the Global Financial Crisis of 2007-2008, the importance of indirect exposures via common asset holdings is increasingly recognized. Yet direct...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015550955

The contagion effect of the FTX cryptocurrency exchange's crash on the stock markets

Galip Gençyürek, Ahmet - 2025

The cryptocurrency market is very attractive for investors, but it has experienced several major crises in recent years due to its inadequacies with regard to transparency and auditing. The FTX cryptocurrency exchange's crash was one of the most crucial events for the cryptocurrency market....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015552916

Shielding against oil shocks : contagion dynamics in Islamic versus conventional markets

Aslam, Adnan; Newaz, Mohammad Khaleq - 2025

This paper empirically examines the decoupling hypothesis by assessing the asymmetric transmissions and contagion effects of oil price shocks on Islamic and conventional stock indices in major oil-importing and -exporting countries. Using the Asymmetric Dynamic Conditional Correlation GARCH...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015552935