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    Rights statement: This is the author’s version of a work that was accepted for publication in International Review of Financial Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in International Review of Financial Analysis, 46, 2016 DOI: 10.1016/j.irfa.2015.09.010

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Will the crisis “tear us apart”?: evidence from the EU

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Will the crisis “tear us apart”? evidence from the EU. / Pappas, Vasileios; Ingham, Hilary; Izzeldin, Marwan; Steele, Gerald.

In: International Review of Financial Analysis, Vol. 46, 07.2016, p. 346-360.

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@article{e865eaf0195544da8dc792bb1bf7b6b0,
title = "Will the crisis “tear us apart”?: evidence from the EU",
abstract = "We examine the synchronisation of the European Union (EU) financial markets before and during the 2007 global financial crisis. We use an Asymmetric Dynamic Conditional Correlation (ADCC)-GARCH framework to control for the time-varying correlations and a Markov-Switching model to identify regime changes. Our sample considers 27 EU nations for the period 2000–2011. For each nation we formulate several characteristics of the crisis such as, synchronicity, duration and intensity measures. We find that the more recent EU members had a lagged entry to the crisis regime, were less adversely affected, show higher correlation between their stock markets and have their credit scores being revised more frequently relative to established EU members. We also find that higher levels of sovereign debt and lower levels of industrialisation positively impact crisis duration and intensity. Our results refute the notion of uniform integration of EU financial markets as evident from the highly non-synchronised observed crisis experience among the EU members. As such, one-size fits all policies are likely to be ineffective.",
keywords = "Contagion, Global financial crisis, Synchronisation, Intensity, Duration, ADCC-GARCH, European Union",
author = "Vasileios Pappas and Hilary Ingham and Marwan Izzeldin and Gerald Steele",
note = "This is the author{\textquoteright}s version of a work that was accepted for publication in International Review of Financial Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in International Review of Financial Analysis, 46, 2016 DOI: 10.1016/j.irfa.2015.09.010",
year = "2016",
month = jul,
doi = "10.1016/j.irfa.2015.09.010",
language = "English",
volume = "46",
pages = "346--360",
journal = "International Review of Financial Analysis",
issn = "1057-5219",
publisher = "Elsevier Inc.",

}

RIS

TY - JOUR

T1 - Will the crisis “tear us apart”?

T2 - evidence from the EU

AU - Pappas, Vasileios

AU - Ingham, Hilary

AU - Izzeldin, Marwan

AU - Steele, Gerald

N1 - This is the author’s version of a work that was accepted for publication in International Review of Financial Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in International Review of Financial Analysis, 46, 2016 DOI: 10.1016/j.irfa.2015.09.010

PY - 2016/7

Y1 - 2016/7

N2 - We examine the synchronisation of the European Union (EU) financial markets before and during the 2007 global financial crisis. We use an Asymmetric Dynamic Conditional Correlation (ADCC)-GARCH framework to control for the time-varying correlations and a Markov-Switching model to identify regime changes. Our sample considers 27 EU nations for the period 2000–2011. For each nation we formulate several characteristics of the crisis such as, synchronicity, duration and intensity measures. We find that the more recent EU members had a lagged entry to the crisis regime, were less adversely affected, show higher correlation between their stock markets and have their credit scores being revised more frequently relative to established EU members. We also find that higher levels of sovereign debt and lower levels of industrialisation positively impact crisis duration and intensity. Our results refute the notion of uniform integration of EU financial markets as evident from the highly non-synchronised observed crisis experience among the EU members. As such, one-size fits all policies are likely to be ineffective.

AB - We examine the synchronisation of the European Union (EU) financial markets before and during the 2007 global financial crisis. We use an Asymmetric Dynamic Conditional Correlation (ADCC)-GARCH framework to control for the time-varying correlations and a Markov-Switching model to identify regime changes. Our sample considers 27 EU nations for the period 2000–2011. For each nation we formulate several characteristics of the crisis such as, synchronicity, duration and intensity measures. We find that the more recent EU members had a lagged entry to the crisis regime, were less adversely affected, show higher correlation between their stock markets and have their credit scores being revised more frequently relative to established EU members. We also find that higher levels of sovereign debt and lower levels of industrialisation positively impact crisis duration and intensity. Our results refute the notion of uniform integration of EU financial markets as evident from the highly non-synchronised observed crisis experience among the EU members. As such, one-size fits all policies are likely to be ineffective.

KW - Contagion

KW - Global financial crisis

KW - Synchronisation

KW - Intensity

KW - Duration

KW - ADCC-GARCH

KW - European Union

U2 - 10.1016/j.irfa.2015.09.010

DO - 10.1016/j.irfa.2015.09.010

M3 - Journal article

VL - 46

SP - 346

EP - 360

JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

SN - 1057-5219

ER -