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

Year 2013, Volume: 3 Issue: 3, 637 - 661, 01.09.2013

Zouheir Mighri Faysal Mansouri

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

Dynamic correlation DCC-GARCH contagion financial crisis stock markets.

Year 2013, Volume: 3 Issue: 3, 637 - 661, 01.09.2013

Zouheir Mighri Faysal Mansouri

Abstract

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Details

Other ID JA88KY68AA
Journal Section Research Article
Authors

Zouheir Mighri This is me

Faysal Mansouri This is me

Publication Date September 1, 2013
Published in Issue Year 2013 Volume: 3 Issue: 3

Cite

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.
AMA Mighri Z, Mansouri F. Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises. IJEFI. September 2013;3(3):637-661.
Chicago 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 3, no. 3 (September 2013): 637-61.
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 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, 2013.
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 2013), 637-661.
JAMA 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, 2013, pp. 637-61.
Vancouver Mighri Z, Mansouri F. Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises. IJEFI. 2013;3(3):637-61.