The Contagion from the 2007-09 US Stock Market Crash | Zendy

Arnulfo M. Castellanos | Zendy; Francisco S. Vargas | Zendy; Luis G. Rentería | Zendy

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The Contagion from the 2007-09 US Stock Market Crash

Author(s) -

Arnulfo M. Castellanos,

Francisco S. Vargas,

Luis G. Rentería

Publication year - 2011

Publication title -

international journal of banking and finance

Language(s) - English

Resource type - Journals

ISSN - 1675-722X

DOI - 10.32890/ijbf2011.8.4.8445

Subject(s) - stock market crash , crash , stock market , stock market bubble , stock exchange , financial crisis , stock (firearms) , financial market , financial contagion , financial economics , economics , market depth , order (exchange) , market maker , stock market index , monetary economics , business , finance , geography , macroeconomics , computer science , context (archaeology) , archaeology , programming language

The global financial crisis that took place during the period 2007-09 had its most prominent manifestation in the general stock market crash. This could be studied from the perspective of financial contagion, using a mathematical tool known as wavelets. This paper aims to assess the impact of the US stock market crash on the other stock markets all over the world. As an initial point the assumption that the former was the epicenter of the global financial crisis stands out. In order to determine the existence of differentiated impacts that show the presence of inertial factors in different stock exchange markets, a filtering technique is used on stock market indexes to assess such impacts. The data series are worked out on different time scales in order to identify short and long term effects.

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