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- W3088405570 abstract "<p>The paper tries to answer the following question: could the 2016 oil price crisis generate financial contagion among stock markets? </p> <p>The study period is composed of two sub-periods; a quiet one from 3/01/2012 to 01/08/2014 and turbulent one from 04/08/2014 to 25/05/2016. Raw data consists of daily international stock market indexes prices. The co-movements of the stock market returns are analyzed through a principal component analysis (PCA).</p> <p>The results revealed that the <em>KMO</em> index (Kaiser-Mayer-Olkin) is higher during the turbulent period than during the quiet one and that the proportion of variance explained by the first component during the turbulent period reached 35% while during the quiet one it represented only 26,7%.Regarding the component structure, for the turbulent period, three factors are able to explain the stock markets indexes movements while for the quiet period four factors are required. </p> <p>The findings give more credit to the thesis supporting the linkage between cross correlation and financial contagion and classify the 2016 oil crisis, as just a coupling episode and not an extreme one.</p>" @default.
- W3088405570 created "2020-10-01" @default.
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- W3088405570 date "2020-09-23" @default.
- W3088405570 modified "2023-10-14" @default.
- W3088405570 title "Financial contagion and 2016 oil crisis: a factor analysis" @default.
- W3088405570 doi "https://doi.org/10.31124/advance.12973832.v1" @default.
- W3088405570 hasPublicationYear "2020" @default.
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