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This research applies a set of diversified tests that have not been used on a joint basis to study the contagion effects of financial crises in the stock markets of developed countries. This is particularly important due to the fact that the existing literature has, so far, failed to adequately address the effects of financial crisis on such markets. Several empirical tests are performed on a joint basis: correlation tests; Kolmogorov-Smirnov tests; extreme value tests; and tests based on the estimation of Cointegrated Vector Autoregressive models. Significant evidence on the existence of contagion effects is provided with regards to the Asia crisis, the Russia crisis and the September 11 crisis. Finally, limited evidence is detected regarding the contagion effects on Brazil, Argentina and Mexico crisis. Resumen Esta investigacion aplica un conjunto de pruebas diversificadas que no se han utilizado en forma conjunta para estudiar los efectos de contagio de las crisis financieras en los mercados bursatiles de los paises desarrollados. Esto es particularmente importante debido al hecho de que en la literatura existente no se abordan adecuadamente los efectos de las crisis financieras en dichos mercados. Se realizan varias pruebas empiricas en forma conjunta: pruebas de correlacion; de Kolmogorov-Smirnov; de valor extremo; y las pruebas basadas en la estimacion de modelos de vectores autorregresivos cointegrados. Se muestra evidencia significativa de efectos de contagio durante la crisis asiatica, la crisis de Rusia y la crisis del 11 de Septiembre. Por ultimo, los efectos de contagio encontrados durante las crisis en Brasil, Argentina y Mexico son limitados.

The Contagion Effects of Financial Crisis on Stock Markets: What Can We Learn From a Cointegrated Vector Autoregressive Approach for Developed Countries?