SHS Web of Conf.
Volume 92, 2021The 20th International Scientific Conference Globalization and its Socio-Economic Consequences 2020
|Number of page(s)
|Financial Management and Financial Markets
|13 January 2021
Globalization Effects on Contagion Risks in Financial Markets
South-West University “Neofit Rilski”, Faculty of Economics, Department of “Finance and accounting”, 60 Ivan Mihailov str., 2700 Blagoevgrad, Bulgaria
* Corresponding author: email@example.com
Research background: Financial globalization has opened international capital markets to investors and companies worldwide. However, the global financial crisis has created big volatility in the stock prices that induces a restriction in the reflection of full information. We explore ten EU Member States (France, Germany, The United Kingdom, Belgium, Bulgaria, Romania, Greece, Portugal, Ireland, Spain), and the USA. The explored period is 03.03.2003 - 30.06.2016, as it includes the effects of the global financial crisis of 2008.
Purpose of the article: To determine if there is a contagion effect between the Bulgarian stock market and the other examined stock markets during the crisis period and whether these markets are efficient.
Methods: Argument Dickey-Fuller Test, DCC-GARCH Model, Autoregressive (AR) Models, TGARCH Model, Descriptive Statistics.
Findings & Value added: Our results show that a contagion across the Bulgarian capital market and eight capital markets exist during the global financial crisis of 2008. We register the strongest contagion effects from US and German capital markets to the Bulgarian capital market. The Bulgarian capital market is relatively integrated with the stock markets of Germany and the United States. That is the explanation of why the Bulgarian capital market is exposed to financial contagion effects from the US capital market and the capital markets of EU member states during the crisis period. We register statistically significant AR (1) for the UK, Greece, Ireland, Portugal, Romania, and Bulgaria, and we can define these global capital markets as inefficient.
Key words: Efficient Market Hypothesis / capital markets / dynamic conditional correlations / financial contagion / globalization /
© The Authors, published by EDP Sciences, 2021
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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