Financial Contagion: A Tale of Three Bubbles

The primary purpose of the study is to identify and measure properties asset bubbles, volatility clustering, financial contagion during three recent market anomalies that originated in U.S. Chinese markets. In particular, we focus on 2000 DotCom Bubble, 2008 Housing Crisis, 2015 Bubble. We employ main empirical methods; LPPL model DCC-GARCH Diebold-Yilmaz spillover index level contagion. provide robust evidence bubble there was very limited between S&P 500, Shanghai, Shenzhen Composite Indexes. However, significantly more effects two crises, i.e., crisis Together, these results highlight fact as markets have become globalized, are greater levels transmission correspondingly fewer potential benefits from international diversification.