Contagion in the stock markets: the 2007 subprime financial crisis

Jayech, Selma; Sadraoui, Tarek; Zina, Naceur Ben

doi:10.1504/ijmfa.2011.039495

Cited by 5 publications

(1 citation statement)

References 18 publications

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“…In fact, during the period from 2008 to 2010, the return index showed an enhanced volatility reflecting the impact of the 2008 global financial crisis on the Canadian stock market. This finding supports the results of Jayech, Sadraoui, and Ben Zina (2011) who reported the presence of a financial contagion during the financial crisis of 2007 in the Canadian market.…”

Section: Methodssupporting

confidence: 92%

The Impact of Financial Crises on the Asset Allocation: Classical Theory Versus Behavioral Theory

Harzallah

Abbes

2019

Journal of Interdisciplinary Economics

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The aim of this article is to compare the portfolio optimization generated by the behavioral portfolio theory (BPT) and the mean variance theory (MVT) by investigating the impact of the global financial crisis on the asset allocation. We use data from the Canadian Stock Exchange over the 2002–2015 period. By comparing both approaches, we show that for any level of aspiration and admissible failure, the BPT optimal portfolio will always contain a part of the mean–variance frontier. Thus, in the case of higher degree of risk aversion induced by typical BPT investors, the security set is located on the upper right of the Markowitz frontier. However, even if the optimal portfolios of MVT and BPT may coincide, MVT investors associated with an extremely low degree of risk aversion will not systematically choose BPT optimal portfolios. Our results also indicate the period of financial crisis generate huge losses in MVT portfolio values that implies a lower expected return and a higher level of risk. Furthermore, we point out the absence of the BPT optimal portfolio when potential losses are higher during the 2008 global financial crisis.

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Section: Methodssupporting

confidence: 92%