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European Stock Market Contagion During Sovereign Debt Crisis And The Effects Of Macroeconomic Announcements On The Correlations Of Gold,Dollar And Stock Returns, Ziyu Li

University of New Orleans Theses and Dissertations

The first part of this dissertation examines the presence of the financial contagion across European stock markets with respect to the Greece sovereign debt crisis by estimating the time-varying conditional correlations of stock returns between Greece and other European countries over 2001 to 2012. We find that the correlations vary over time and reach the peaks in the late 2008 during theU.S.subprime crisis, and in the beginning of 2010 of the height of European debt crisis. Further, the correlations between stock index returns of Greece and Spain, France, Ireland, Netherlands are significantly increased by Greek sovereign credit rating downgrade announcements. …