Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises

Zouheir Mighri; Faysal Mansouri

Makale detayları

Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises

Yazarlar:

Zouheir Mighri | Faysal Mansouri

Yayıncı:

İlhan ÖZTÜRK

Dergi:

International Journal of Economics and Financial Issues 2013 Vol.3 Issue 3, pp.637-661

Belge Tipi:

Makale

Yayın Tarihi:

8/2013

Belge Dili:

Türkçe

Document ID (Org No.):

2000814610

Sıklık:

İki Aylık

eISSN:

2146-4138

Özet:

 

This research examines the time-varying conditional correlations to the daily stock index returns. We use a dynamic conditional correlation (DCC) multivariate GARCH model in order to capture potential contagion effects between US and major developed and emerging stock markets during the 2007-2010 major financial crisis. Empirical results show substantial evidence of significant increase in conditional correlation or contagion as well as herding behavior during crisis periods. This result contrasts with the “no contagion” finding reached by Forbes and Rigobon (2002).

Makale detayları

Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises

Yazarlar: Zouheir Mighri | Faysal Mansouri

Yayıncı: İlhan ÖZTÜRK

Dergi: International Journal of Economics and Financial Issues 2013 Vol.3 Issue 3, pp.637-661

Belge Tipi: Makale

Yayın Tarihi: 8/2013

Belge Dili: Türkçe

Document ID (Org No.): 2000814610

Sıklık: İki Aylık

eISSN: 2146-4138

Sayı

Yazarlar:

Zouheir Mighri | Faysal Mansouri

Yayıncı:

İlhan ÖZTÜRK

Dergi:

International Journal of Economics and Financial Issues 2013 Vol.3 Issue 3, pp.637-661

Belge Tipi:

Makale

Yayın Tarihi:

8/2013

Belge Dili:

Türkçe

Document ID (Org No.):

2000814610

Sıklık:

İki Aylık

eISSN:

2146-4138