A Dynamic Analysis of Financial Contagion: The Case of the Subprime Crisis

This paper examines contagion phenomenon during the 2007 subprime crisis. It empirically attests for contagion through a DCC GARCH (1.1) and an adjusted correlation test over 13 emerging and developing stock markets during the 11/03/2005 to 31/07/2010 period. Applying the DCC GARCH (1.1) over a sample of market indices returns helped detect a significant increase in dynamic correlations of the returns of the following markets: Mexico, Argentina