The non-linear test and empirically study on the financial crisis contagion based on Copula Method

Financial crisis has seriously affected the global economy, and it has caused people´s great concern to financial crisis contagion. In recent years, financial crisis contagion has become one of key issues in financial field. This paper introduces the Copula Method and presents the non-linear method to test and empirically study on financial crisis contagion and has conducted a significance test whether international stock markets have been subject to the contagion of U.S. subprime crisis.