Paulo Alexandre – Polytechnic Institute of Setúbal, School of Business and Administration, Esce, Campus do Instituto
Politécnico de Setúbal, Estefanilha, 2914-503 Setúbal, Portugal
Paula Heliodoro – Polytechnic Institute of Setúbal, School of Business and Administration, Esce, Campus do Instituto
Politécnico de Setúbal, Estefanilha, 2914-503 Setúbal, Portugal
Rui Dias – Polytechnic Institute of Setúbal, School of Business and Administration, Esce, Campus do Instituto
Politécnico de Setúbal, Estefanilha, 2914-503 Setúbal, Portugal




5th International Scientific-Business Conference – LIMEN 2019 – Leadership, Innovation, Management and Economics: Integrated Politics of Research – CONFERENCE PROCEEDINGS, Graz, Austria, December 12, 2019, published by the Association of Economists and Managers of the Balkans, Belgrade; Printed by: SKRIPTA International, Belgrade, ISBN 978-86-80194-26-4, ISSN 2683-6149, DOI:



This research analyses the co-movements between sovereign debt markets, and the stock markets
of Germany, Portugal, and Greece, in the period 2009:10 – 2015:07. It aims to provide answers to two
questions, namely, whether: i) Was there contagion between bond markets and the Eurozone stock markets?
ii) Did the financial sector show contagion? The study used GARCH-DCC econometric models, with
the purpose of estimating the dynamic correlation between the markets, using daily data of 10-year OT
yields for Greece and Portugal, as well as price indices for Portugal (PSI-20, PSI Financial), and Germany
(DAX-30 and DAX Financial). In addition, we also evaluate the variation of the correlation in each of the
identified crisis periods against a reference period (pre-crisis). The results suggest contagion from the
Greek sovereign debt market to the Portuguese and German stock markets. We found that the Portuguese
debt market influenced the German stock market, in a market and financial sector context. In conclusion,
it is assumed that the results reveal some understanding of the behaviour of investors under extreme market
conditions and contribute to the understanding of the connection between sovereign risk and financial
sector risk by market agents, including regulators and policy-makers, who seek to ensure the stability of
the international financial system, of which the stock markets are a part of.



Financial contagion, Stock market, Euro sovereign debt crisis, GARCH-DCC.




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