Journal ArticleDOI
Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets☆
TLDR
This article applied the Dynamic Conditional Correlation (DCC) multivariate GARCH model to examine the time-varying conditional correlations to the weekly index returns of seven emerging stock markets of Central and Eastern Europe.About:
This article is published in International Review of Economics & Finance.The article was published on 2011-10-01. It has received 353 citations till now. The article focuses on the topics: Financial contagion & Eastern european.read more
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Contagion effects on capital and forex markets around gfc and covid-19 crises. a comparative study
Krzysztof Brania,Henryk Gurgul +1 more
TL;DR: In this paper, the spread of crises across the financial and capital markets of different countries has been studied, and the standard method of contagion detection is based on the evolution of the correlation matrix for the example of exchange rates or returns, usually after removing univariate dynamics with the GARCH model.
Journal ArticleDOI
Capital market internationalization and equity financing costs: firm-level evidence from China*
TL;DR: In this paper, the authors exploit the unique variations in China's capital market integration to study the effect of capital market internationalization on the cost of equity financing and find that the growing integration of the capital market is significantly increasing Chinese companies' equity financing costs.
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Exploring the Contagion Effect from Developed to Emerging CEE Financial Markets
Adriana AnaMaria Davidescu,Eduard Mihai Manta,Razvan-Gabriel Hapau,Mihaela Gruiescu,Oana Mihaela Vacaru (Boita) +4 more
TL;DR: In this article , the authors analyzed the contagion effect coming from the developed stock markets of the US and Germany to the emerging CEE stock markets using daily data for the period April 2005-April 2021.
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Efecto contagio de la primera ola del SARS-CoV-2 sobre los mercados bursátiles de las economías del G20
TL;DR: In this paper , a trasmisión de la volatilidad de la varianza entre los mercados bursátiles de los países que integran el G20 durante la primera ola del SARS-CoV-2 and de esta manera validar la existencia del efecto contagio is presented.
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Vplyv nemeckého akciového trhu na akciové trhy krajín V4 [Influence of German Stock Market on Stock Markets of V4 Countries]
TL;DR: In this paper, the authors used the Granger causality to analyze the influence of the German DAX stock index on the development of the Czech (PX), Hungarian (BUX), and Polish stock indices.
References
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Journal ArticleDOI
Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models
TL;DR: In this article, a new class of multivariate models called dynamic conditional correlation models is proposed, which have the flexibility of univariate generalized autoregressive conditional heteroskedasticity (GARCH) models coupled with parsimonious parametric models for the correlations.
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No Contagion, Only Interdependence: Measuring Stock Market Comovements
TL;DR: The authors showed that correlation coefficients are conditional on market volatility, and that there was virtually no increase in unconditional correlation coefficients (i.e., no contagion) during the 1997 Asian crisis, 1994 Mexican devaluation, and 1987 U.S. market crash.
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No Contagion, Only Interdependence: Measuring Stock Market Co-Movements
TL;DR: In this article, the authors examined stock market co-movements and applied these concepts to test for stock market contagion during the 1997 East Asian crises, the 1994 Mexican peso collapse, and the 1987 U.S. stock market crash.
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Extreme Correlation of International Equity Markets
François Longin,Bruno Solnik +1 more
TL;DR: This article showed that correlation is not related to market volatility per se but to the market trend and that correlation increases in bear markets, but not in bull markets, and they also showed that the distribution of extreme correlation for a wide class of return distributions can be derived using extreme value theory.
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Is the correlation in international equity returns constant: 1960–1990?
François Longin,Bruno Solnik +1 more
TL;DR: In this article, the authors studied the correlation of monthly excess returns for seven major countries over the period 1960-90 and found that the international covariance and correlation matrices are unstable over time.