文章基本信息

标题：INTERDEPENDENCE OF CAPITAL MARKETS IN TERMS OF ECONOMIC STABILITY AND IN CONDITIONS OF FINANCIAL CRISIS - ECONOMETRIC STUDY OF THE EFFECT OF CONTAGION
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作者：Păun, Ioana-Diana ; Pascu-Nedelcu, Maria
期刊名称：Theoretical and Applied Economics
印刷版ISSN：1841-8678
电子版ISSN：1844-0029
出版年度：2009
卷号：12(541)(supplement)
期号：12(541)(supplement)
页码：685-691
出版社：Asociatia Generala a Economistilor din Romania - AGER
摘要：The present study aims to build a relationship that can quantify the dependence between different capital markets and to compare the results obtained before and after the onset already famous financial crisis we are going through. Also, we plan to identify on the basis of generally valid empirical behavior of these dependencies, to justify its trend and seek justification for any exceptions occurring. The paper seeks to be a starting point for further reflections on the connection and transmission channels of information between capital markets in different geographical areas.
关键词：financial crisis; stock market dependence; GARCH; correlation; contagion effect.