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- W2570822076 abstract "We propose a multiscale correlation contagion statistic to test for stock market contagion during the global financial crisis (GFC) from the US to the other six G7 and BRIC countries. We find that cross-market correlations between the US and selected countries are conditional on the time scale. Stock market contagion during the GFC is dependent on both the recipient country and the time scale, e.g., contagion from the US to Japan, China, and Brazil occurs when the time scale is longer than 50 days or more. Our findings are important to international investors when they make decisions about global portfolio diversification." @default.
- W2570822076 created "2017-01-13" @default.
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- W2570822076 date "2017-08-01" @default.
- W2570822076 modified "2023-10-18" @default.
- W2570822076 title "Stock market contagion during the global financial crisis: A multiscale approach" @default.
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- W2570822076 doi "https://doi.org/10.1016/j.frl.2016.12.025" @default.
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