In this paper we investigate the dynamics of European government bond market contagion during the financial crisis and, subsequently, during the European sovereign debt crisis. Following Bae et al. (2003), we use the coexceedance variable—joint occurrences of extreme negative and positive returns in different countries on a given day—to measure contagion. We also analyze the underlying determin...

Over the past two decades, financial market crises with similar features have occurred in different regions of the world. Unstable cross-market linkages during financial crises are referred to as financial contagion. We simulate the transmission of financial crises in the context of a model of market participants adopting various strategies; this allows testing for financial contagion under alt...

Many amateur athletes believe that using a professional athlete's equipment can improve their performance. Such equipment can be said to be affected with positive contagion, which refers to the belief of transference of beneficial properties between animate persons/objects to previously neutral objects. In this experiment, positive contagion was induced by telling participants in one group that...

Using structural equation modeling, the present study investigated the influences of personality, measured by the Temperament and Character Inventory, on susceptibility to emotional contagion, measured by the Emotional Contagion Scale (ECS), in a sample of 423 Swedish university students. Consistent with predictions of the Biosocial Model of Personality and the theory of emotional contagion, re...

Heteroskedasticity biases tests for contagion based on correlation coefficients. When contagion is defined as a significant increase in market comovement after a shock to one country, previous work suggests contagion occurred during recent crises. This paper shows that correlation coefficients are conditional on market volatility. Under certain assumptions, it is possible to adjust for this bia...

Our work lies in the area of systemic risk in financial systems and focuses on the study of the tradeoff between financial contagion and benefit of connectivity. We consider a financial network described as a weighted directed graph, in which nodes represent financial institutions and edges the exposures between them. The distress propagation is modeled as an epidemics on this graph. We first s...

This paper proposes a new test of financial contagion based on a nonparametric measure of the cross-market correlation. The test does not depend on the assumption that the data are drawn from a given probability distribution, therefore it allows for maximal flexibility in fitting into the data. Simulation studies show that our test has reasonable size and good power to detect financial contagio...

State-of-the-art credit risk portfolio models and the New Basel Capital Accord consider only symmetric dependencies between borrowers in a portfolio, such as correlations. Recently, asymmetric dependencies have been introduced by Davis/Lo (2001) among others. However, statistical estimation techniques and empirical evidence on contagion is still rather scarce. The present paper provides a simpl...

The influence of environmental context on self-rating of emotional contagion was tested in 107 undergraduate subjects across two conditionsalone or in a group with their classmates. Susceptibility to emotional contagion, or the tendency to ‘catch’ emotions of other individuals was assessed in these two groups using an Emotional Contagion (EC) scale. Greater susceptibility to emotional contagion...

us 2008 financial crisis, spreaded out across the international stock markets in the second half of the year 2008. the crisis decreased the returns and increased the volatilities of almost all of the stock indices, however, its effects on iran’s stock markets were unexplored. financial limitations create an exclusive situation in iran’s stock market. using weekly data on the stock indices from ...