The Contagion from the 2007-09 US Stock Market Crash

Authors

  • Arnulfo M. Castellanos Universidad de Sonora, Mexico
  • Francisco S. Vargas Universidad de Sonora, Mexico
  • Luis G. Rentería Universidad de Sonora, Mexico

DOI:

https://doi.org/10.32890/ijbf2011.8.4.4

Keywords:

Contagion, global stock market crash, united states, wavelets

Abstract

The global financial crisis that took place during the period 2007-09 had its most prominent manifestation in the general stock market crash. This could be studied from the perspective of financial contagion, using a mathematical tool known as wavelets. This paper aims to assess the impact of the US stock market crash on the other stock markets all over the world. As an initial point the assumption that the former was the epicenter of the global financial crisis stands out. In order to determine the existence of differentiated impacts that show the presence of inertial factors in different stock exchange markets, a filtering technique is used on stock market indexes to assess such impacts. The data series are worked out on different time scales in order to identify short and long term effects.

 

References

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Published

12-12-2011

Issue

Vol. 8 No. 4 (2011): International Journal of Banking and Finance (IJBF) Vol. 8, No.4, 2011

Section

Articles

How to Cite

Castellanos, A. M., Vargas, F. S., & Rentería, L. G. (2011). The Contagion from the 2007-09 US Stock Market Crash. International Journal of Banking and Finance, 8(4), 67-81. https://doi.org/10.32890/ijbf2011.8.4.4

Research impact

Harvested 2026-09-07
6 citations, from OpenAlex — the highest of the sources checked

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Identifiers DOI 10.32890/ijbf2011.8.4.4 OpenAlex W188947391