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Abstract

The global financial crisis that took place during the period 2007-09 had its most prominent manifestation in the general stock market crash. This could be studied from the perspective of financial contagion, using a mathematical tool known as wavelets. This paper aims to assess the impact of the US stock market crash on other stock markets all over the world. As an initial point the assumption that the former was the epicenter of the global financial crisis stands out. In order to determine the existence of differentiated impacts that show the presence of inertial factors in different stock exchange markets, a filtering technique is used on stock market indexes to assess such impacts. The data series are worked out on different time scales in order to identify short and long term effects.

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