Financial Contagion from China towards Europe

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2017-07-11
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fr
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''This thesis did research about possible contagion from China towards European markets during the Chinese stock market crash of 2015-2016. The interest for this topic was awakened by the increased worrying in the European financial markets about possible contagion from China. Cross-market correlation coefficient analysis was used to test for contagion from China towards European markets. The methodology used in this thesis followed for the most part the methodology as described by Forbes and Rigobon (2002) aside from a change in the division of the tranquil and crisis periods. The thesis examined two tranquil periods and three crisis periods. The results show that there is no evidence for contagion from China towards European markets during the crisis periods. The results were very clear and only one weak case of possible contagion for France was observed during the middle crisis period and the long tranquil period. Based on these results, the conclusion of this thesis that there was no contagion from China towards Europe during any of the crisis periods which lasted from August 2 2015 till February 28 2016. ''
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Faculteit der Managementwetenschappen
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