Global capital market interdependence and spillover effect of credit risk: evidence from the 2007–2009 global financial crisis

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Subfields: Finance

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Stock market volatility and business cycle: Evidence from linear and nonlinear causality tests (2016, result): “…the impact of the crisis is more evident as we find significant causality results in both directions for all considered variables 1 The findings of Cheung et al. (2009) indicate a contagion effect and a stronger interrelationship between the US and other markets such as the UK and Japan during…”
Determinants of stock market comovements among US and emerging economies during the US financial crisis (2013, background): “Increased TED spread implies a worsened liquidity situation or “fear” (Cheung et al., 2010; Lashgari, 2000) in the world capital market, and this, in turn, decreases the comovements of stock returns among emerging countries and the US.”