The objective of the dissertation is to study various aspects of financial crisis 2007-09. Overall there are two kinds of objectives that are pursued in this dissertation: the first objective is to decipher the linkages between different stock markets, real estate markets and oil markets in order to assess the return and volatility spillover effects. The focus in this area is on the level of integration among the markets during different periods of time including crisis. This area is investigated through developing three separate essays. The first essay tests the Russian government claim that shocks originating in foreign markets were primarily responsible for its stock market panic during September-October 2008. Using financial contagion framework, the results indicate that the Russian stock market is weakly integrated with the US and European market in turn discarding the government claim. In bivariate market comparison, the results indicate that Russian market emits high level of shocks affecting the correlation structure between Russia and foreign markets while the reverse is true in case of volatility spillover effects. It is concluded that the governments should not use the justification of foreign shocks affecting the local markets during global crisis. Akin to foregoing analysis, we look at the transmission of shock and volatility in the Real Estate Investment Trust (REIT) markets. Since by law REITs are required to invest a large portion of their investments in real estate, the role of REITs in spreading the subprime mortgage crisis across the globe has been assessed. The initial analysis indicates that during crisis all markets are granger causing each other. The result is in compliance with the widely held view that the stock markets behave alike during global crisis. Next the integration between USREITs and global REITs and S&P500 has been examined. The results indicate USREITs is weakly integrated with the global REITs implying low level of bidirectional shock and volatility spillover while the reverse is true in case of USREITs- S&P500. Finally the integration between S&P500 and global REITs has been explored. The results suggest weak integration between S&P500 and global REITs. The shocks are mainly transmitted from S&P500 to global REITs. Over all the study concludes that neither USREITs nor S&P500 can create a wider panic in the global REIT markets during crisis. These weak linkages points towards portfolio diversification benefits as well.Studying the crisis at the next level, we analyze short-run as well as long-run relationship between crude oil price and stock markets for Brazil, Russia, India and China (BRIC) within a constrained structural modeling framework. Our findings indicate that BRIC stock markets to certain extent follow the efficient market hypothesis such that in case of oil importing country a positive oil price shock cause the stock market to fall and the reverse is true for an oil exporting country. Two important behaviors have been identified related to short-run interest rate and industrial production. The rise in oil prices generate inflation which is countered by increase in short-run interest rate. At the same time, industrial production tends to increase in real terms instead of decreasing in view of oil price shock (increase in oil price). The result can be attributed to hedging oil price risk with physical delivery. Once the hedge contract starts expiring after 30, 90 or 180 days the impact of oil price starts reducing the industrial production. The second objective of the dissertation is to study the government intervention specifically in the stock markets and generally in the economy. From stock market perspective, we analyze the case of Russian government repeated intervention in its national stock markets during late 2008. Using event-study methodology the findings indicate weak evidence that government intervention can in fact prevent stock market from external financial shocks. The study strongly recommends that the governments should not intervene during stock market crisis.Studying the case of general economy, a new idea has been developed and floated regarding central bank’s intervention directed to preempt an Asset Price Bubble (APB). The economic theory regarding central bank monetary policy intervention has been found to suffer from various problems in the event an APB occurs, such as, -time lag, -cannot affect bubbled sector alone as well as –irrelevance of traditional bank-lending channel. To deal with these issues the study brings forward the idea of regulatory intervention based on certain text book assumptions. The idea entails that contrary to traditional monetary policy intervention, the central bank should impose credit exposure limits for a particular sector on credit institutions. These limits should be imposed once the central bank finds out the abnormal increase in prices in a given sector of the economy. Our preliminary findings suggest that idea of regulatory intervention has the potential to preempt the APB.