"We conduct an empirical investigation into the pricing of subprime assetbacked CDOs and the resulting contagion effects on other markets. Using data for the ABX indexes of subprime CDO prices, we find strong evidence of contagion effects. In particular, we find that contagion effects spread first from lower-rated ABX indexes to higher-rated ABX indexes, and then from the subprime markets to the Treasury bond and stock markets." (Quoted from paper)