Globalization Effects on Contagion Risks in Financial Markets

Research background: Financial globalization has opened international capital markets to investors and companies worldwide. However, the global financial crisis created big volatility in stock prices that induces a restriction reflection of full information. We explore ten EU Member States (France, Germany, The United Kingdom, Belgium, Bulgaria, Romania, Greece, Portugal, Ireland, Spain), USA. explored period is 03.03.2003 - 30.06.2016, as it includes effects 2008. Purpose article : To determine if there contagion effect between Bulgarian market other examined during whether these are efficient. Methods: Argument Dickey-Fuller Test, DCC-GARCH Model, Autoregressive (AR) Models, TGARCH Descriptive Statistics. Findings & Value added: Our results show across eight exist register strongest from US German market. relatively integrated with Germany States. That explanation why exposed member states period. statistically significant AR (1) for UK, we can define inefficient.