Authors: Spyros Spyrou, Georgia Pantou

Title: Volatility and contagion from the financially distressed markets

Abstract

This paper employs a range of methodologies in order to investigate the nature of volatility and contagion effects fron the financially distressed markets in the EU to major markets, during the recent financial crisis. The results indivate that market volatility bevomes explosive for Greece during the crisis. Furthermore, the effect of events in Ireland, Portugal, and Greece on major market volatility during the crisis have been overstated.