.... Originality/value This study aims to study a crucial financial issue that gained increased research interest, i.e. financial contagion. A methodological contribution is made by extending the standard spatial Durbin model (SDM) to analyze and differentiate between several forms of contagion. The results can...

... hypothesize the following: H1. Stock indexes are not significant predictor of Bitcoin return. Granger causality Impulse response function Time series Vector autoregressive model Stock markets Bitcoin Cryptocurrency Volatility spillover Directional predictability Financial...

... rates, which imply a financial contagion pattern, according to which a high frequency of bank failures generates turbulence, which shortly after leads to additional fails, whereas prolonged periods without abnormal events signify the absence of contagious dependence, which increases the relative periods...