This study develops a sign-modified nonlinear similarity model to study the contagion in financial crisis. We use the similarity index as an indicator to analyze the contagion of the United States and Greece to other six countries during the subprime crisis and the European debt crisis. Our results show that in the 2007-2009 subprime crisis the United States is the contagion source; and that in the 2010-2012 European debt crisis, the impacts of Greece to other countries are smaller than those of the United States except for Italy and Spain. We conclude that the harm of the financial crisis from a large economy is more severe than that from a small economy and the small economy's crisis mainly shocks the neighboring countries with similar economy
