August 2016
Intermediate to advanced
304 pages
10h 8m
English
This chapter investigates financial contagion from the United States to eight African frontier markets during the 2007–09 financial crisis using a dynamic conditional correlation-based methodology. The crisis is explored from the perspectives of it being, first, a single long-period event and, second, a series of cumulative short-period subevents. For comparative purposes, contagion from the United States to a set of seven developed markets is also examined. We find strong evidence of contagion in African frontier ...
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