Contagion effect of global crisis: An application on the securities market

The disappearance of borders between countries as a result of globalization has brought about concentration and freedom between financial relationship and market. This cross-border liberalization in the markets also revealed a structure which allows the transfer of shock, though. The economic cross-border shocks found their places in the literature in several studies. In addition to these works, the concept of contagion of the crisis in the transfer of financial shocks has prevaled and become a concept that has been studied by many researchers. This study examines the global crisis taking place in various countries and in reference affecting a number of other countries due to the contagion of the crisis. The concept of globalization was discussed in detail in the first part of the study. In the second, it was attempted to set some definitions for creating a suitable infrastructure about the impact of the financial crisis contagion and the contagion effects of some global crisis have been examined in this context. In the third and last part of the study, a group of countries were selected and examined by making empirical analysis in the context of the contagion effects of the 2007-2009 global financial crisis beginning in the US. DCC-GARCH model has been used in this study. According to the result of the study, in the crises period DCC coefficients based on high from the pre-crises period, so contagion effect of the 2007-2009 global crises has been watched fort he samples countries. Contagion effect has been watched on the income group countries much more than the others. Keywords: Globalization, Financial Crisis, Contagion Effect, Global Crises, DCC- GARCH