Abstract:

Our definition of contagion in financial markets is a significant increase in cross-market linkages after a shock to one or group of countries. Contagion occurs if cross-market co-movement increases significantly after the shock. In this article, the author attempt to answer the question whether the selected world stock exchanges and economies are infecting each other within the meaning of the definition provided. Conditional copula functions and conditional Spearman's correlation coefficient will be used as a tool. Main goal of this paper analysis of changes in dependence between Polish stock market (WIG20) and chosen groups of world stock markets using conditional copula function and conditional correlation coefficient and dynamic correlation coefficient.