Does Global Financial Crisis Causes Financial Contagion Effects on European Stock Markets?

This paper studies the impact of the global financial crisis contagion across European stock markets. For this research, we selected seven European stock markets and picked up the period between 04/10/1999 and 30/06/2011. To identify the occurrence of contagion effect, we used the multivariate dynamic conditional correlation (DCC) developed by Engle (2002), and tests the average correlation coefficients, estimated by the DCC model in order to understand if coefficients recorded in the global financial crisis subperiod differ from those recorded in the previous sub-periods. The analysis revealed that the correlation coefficients increased significantly in the last sub-period, which confirms the existence of contagion effects among stock markets studied