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Folia Oeconomica Stetinensia

The Journal of University of Szczecin

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1898-0198
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Model of Financial Crisis Contagion: A Survey-based Simulation by Means of the Modified Kaplan-Meier Survival Plots

Dr. Paulina Roszkowska
  • Corresponding author
  • Warsaw School of Economics Institute of Value Creation Al. Niepodlegosci 162, 02-554 Warszawa, Poland
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/ Łukasz Prorokowski Ph.D.
Published Online: 2014-03-25 | DOI: https://doi.org/10.2478/foli-2013-0006

Abstract

The aim of this paper is to present a broad picture and novel aspects of the financial crisis contagion with respect to the stages of crisis contagion and its propagation factors. We employ a pioneering approach to a simulation of the financial crisis contagion by embarking on a qualitative query rather than on empirical data (i.e. by adopting an international investor’s perspective by conducting the qualitative query backed by semi-structured interviews with financial markets’ participants). Building on modified Kaplan-Meier Survival Plots, we suggest a model for the financial crisis contagion based on international linkages between markets, with particular attention paid to spot vulnerabilities in regulatory frameworks that allowed for the crisis to spread. Simulation results showed that there were several phases of crisis contagion in Europe, and different countries (regions) were contained via different paths, propagated by different factors with not equal intensity. The diversity of European countries’ susceptibility is evident not only when comparing advanced markets to the emerging ones, but also within these groups. Hereto, both international investment practitioners, as well as pan European market authorities should analyse with scrutiny the links emerging from the simulation, so that to develop sound and efficient investment strategies or impose tailor-made regulations for financial markets.

Keywords : Capital Markets; Financial Crisis; Crisis Contagion; Cross-Market Surveillance; Financial Market Linkages; Trading Strategies

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About the article

Published Online: 2014-03-25

Published in Print: 2013-12-01


Citation Information: Folia Oeconomica Stetinensia, ISSN (Online) 1898-0198, ISSN (Print) 1730-4237, DOI: https://doi.org/10.2478/foli-2013-0006.

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