Mesure économétrique de la Transmission des Chocs lors de la Crise des Subprimes sur les pays Développés et Emergents

Abstract EN

This paper focuses on examining the behavior of six stock markets relative to the developed and emerging countries affected by the subprime crisis via contagion.

We try to test empirically the phenomenon through the VAR technique.

The study extends over a period of seven years from 01/05/2005 to 28/12/2011 in the stock markets.

Results showed an bilateral effect of shock transmission U.S.

stock market to those of France, UK and Italy.

Unlike the U.S.

market influence indirectly emerging market countries such as Argentina and Mexico.