EN
Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises
Abstract
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).
Keywords
Details
Primary Language
English
Subjects
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Journal Section
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Publication Date
September 1, 2013
Submission Date
September 1, 2013
Acceptance Date
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Published in Issue
Year 2013 Volume: 3 Number: 3
APA
Mighri, Z., & Mansouri, F. (2013). Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises. International Journal of Economics and Financial Issues, 3(3), 637-661. https://izlik.org/JA73PW87ZS
AMA
1.Mighri Z, Mansouri F. Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises. IJEFI. 2013;3(3):637-661. https://izlik.org/JA73PW87ZS
Chicago
Mighri, Zouheir, and Faysal Mansouri. 2013. “Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises”. International Journal of Economics and Financial Issues 3 (3): 637-61. https://izlik.org/JA73PW87ZS.
EndNote
Mighri Z, Mansouri F (September 1, 2013) Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises. International Journal of Economics and Financial Issues 3 3 637–661.
IEEE
[1]Z. Mighri and F. Mansouri, “Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises”, IJEFI, vol. 3, no. 3, pp. 637–661, Sept. 2013, [Online]. Available: https://izlik.org/JA73PW87ZS
ISNAD
Mighri, Zouheir - Mansouri, Faysal. “Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises”. International Journal of Economics and Financial Issues 3/3 (September 1, 2013): 637-661. https://izlik.org/JA73PW87ZS.
JAMA
1.Mighri Z, Mansouri F. Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises. IJEFI. 2013;3:637–661.
MLA
Mighri, Zouheir, and Faysal Mansouri. “Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises”. International Journal of Economics and Financial Issues, vol. 3, no. 3, Sept. 2013, pp. 637-61, https://izlik.org/JA73PW87ZS.
Vancouver
1.Zouheir Mighri, Faysal Mansouri. Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises. IJEFI [Internet]. 2013 Sep. 1;3(3):637-61. Available from: https://izlik.org/JA73PW87ZS