Financial Spillovers to Emerging Markets During the Global Financial Crisis

The Impact Of Financial Crisis On Islamic And Conventional Indices Of The GCC Countries

“…The beginning week for the crisis is chosen in line with the bankruptcy filing of Lehman brothers on 15 September 2008. On this day, the Dow Jones experiences a decline of more than 500 points; it's largest after 9/11 and after that the financial crisis was unleash forcefully, bringing turmoil to many markets around the world (Frank and Hesse, 2009). Bartram and Bodner (2009) Log normal returns are calculated for each time series in the sample.…”

Volatility spillover effect study in U.S. dollar and gold market based on bivariate-BEKK model

“…A multivariate GARCH model was also estimated in a study of inter linkages between advanced economies and EM financial indicators were highly correlated and sharp increases during the crisis period were discovered. The financial comovements were found between advanced economies and emerging markets during the subprime mortgage turmoil [12].…”

Cross-Border Finance, Trade Imbalances and Competitiveness in the Euro Area

“…Source: Author's compilation and presentation based on the data set of Hobza and Zeugner (2015): http://www.zeugner.eu/studies/finflows/ 7 There is a rich empirical literature on this subject. See also the study by Frank and Hesse (2009) who apply GARCH modeling and find that transmission of shocks (financial crisis) rather strengthen the correlation. In addition, the nominal interest rate of an investment loan usually follows the effective interest rate on bond markets.…”