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

Yıl 2013, Cilt: 3 Sayı: 3, 637 - 661, 01.09.2013

Zouheir Mighri Faysal Mansouri

Öz

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).

Anahtar Kelimeler

Dynamic correlation DCC-GARCH contagion financial crisis stock markets.

Yıl 2013, Cilt: 3 Sayı: 3, 637 - 661, 01.09.2013

Zouheir Mighri Faysal Mansouri

Öz

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Ayrıntılar

Diğer ID JA88KY68AA
Bölüm Araştırma Makalesi
Yazarlar

Zouheir Mighri Bu kişi benim

Faysal Mansouri Bu kişi benim

Yayımlanma Tarihi 1 Eylül 2013
Yayımlandığı Sayı Yıl 2013 Cilt: 3 Sayı: 3

Kaynak Göster

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. Eylül 2013;3(3):637-661.
Chicago 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 3, sy. 3 (Eylül 2013): 637-61.
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 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, 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 (Eylül 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 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, 2013, ss. 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.