A Case Study of Developed Countries’ Stock Markets Derivatives Hinder the Financial Contagion
Keywords:
Derivatives, Financial Contagion, Stock MarketAbstract
The main purpose of this study is to test the effect of the derivative instruments on financial contagion in developed countries including France, Germany, South Korea, Spain, the Netherlands and the United Kingdom, considering the United States as the source of the crisis. Therefore at first, the existence of the contagion in the markets was investigated using the ARMA-GARCH-COPULA method, and then, the effect of the derivative instruments on the contagion for the selected countries was examined during the time period 01-2007 to 08-2018. The results confirm the negative effect of the derivatives on the contagion.
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