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
Ayrıntılar
Birincil Dil
İngilizce
Konular
-
Bölüm
-
Yayımlanma Tarihi
1 Eylül 2013
Gönderilme Tarihi
1 Eylül 2013
Kabul Tarihi
-
Yayımlandığı Sayı
Yıl 2013 Cilt: 3 Sayı: 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, ve 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 (01 Eylül 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 ve F. Mansouri, “Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises”, IJEFI, c. 3, sy 3, ss. 637–661, Eyl. 2013, [çevrimiçi]. Erişim adresi: 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 (01 Eylül 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, ve Faysal Mansouri. “Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises”. International Journal of Economics and Financial Issues, c. 3, sy 3, Eylül 2013, ss. 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]. 01 Eylül 2013;3(3):637-61. Erişim adresi: https://izlik.org/JA73PW87ZS