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The purpose of this paper is to apply the new test of financial market contagion to test for equity markets in Australian domestic financial firms during the global financial crisis of 2007 to 14. The new approach of contagion is developed by Fry-McKibbin, Hsiao and Martin (2017) and this test is named as a joint test. This new test can be identified the transmission channels of financial contagion through joint comoments of correlation, cross-market skewness (co-skewness), cross-market kurtosis (co-kurtosis) and cross-market volatility (co-volatility) of the distribution of the asset returns. The proposed test is applied to investigate the Australian financial companies' contagion in equity markets during the global financial crisis of 2007 to 14. The results reveal that the joint test (JT test) statistic provides the evidence of contagion from the US banking sector to all of the Australian financial firms during the financial crisis of 2007 to 14. Keywords— Contagion; Joint Test; Global Financial Crisis

The Impact of Financial Crisis of 2007 to 14 on the Australian Financial Firms