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
Citations
More filters
Journal ArticleDOI
Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold
TL;DR: In this article, the authors employ a VAR-GARCH model to investigate the return links and volatility transmission between the S&P 500 and commodity price indices for energy, food, gold and beverages over the turbulent period from 2000 to 2011.
Journal ArticleDOI
Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach
TL;DR: In this paper, the contagion effects of the global financial crisis in a multivariate Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) dynamic conditional correlation (DCC) framework during the period 1997-2012 were investigated.
Journal ArticleDOI
The more contagion effect on emerging markets: The evidence of DCC-GARCH model
TL;DR: In this article, the authors test the existence of financial contagion between foreign exchange markets of several emerging and developed countries during the U.S. subprime crisis and find that emerging markets seem to be the most influenced by the contagion effects.
Journal ArticleDOI
Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?
TL;DR: In this paper, the contagion effects of GIPSI (Greece, Ireland, Portugal, Spain and Italy), USA, UK and Japan markets on BRIICKS (Brazil, Russia, India, Indonesia, China, South Korea and South Africa) stock markets were examined.
Journal ArticleDOI
Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre
TL;DR: In this paper, the authors used Chinese-developed data based on long-standing influenza indices, and the more recently developed coronavirus and face mask indices, to test for the presence of volatility spillovers from Chinese financial markets upon a broad number of traditional financial assets during the outbreak of the COVID-19 pandemic.
References
More filters
Journal ArticleDOI
Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis
David Hirshleifer,Siew Hong Teoh +1 more
TL;DR: In this paper, the authors review theory and evidence relating to herd behaviour, payoff and reputational interactions, social learning, and informational cascades in capital markets and evaluate how alternative theories may help explain evidence on the behaviour of investors, firms, and analysts.
Journal ArticleDOI
Forecasting International Equity Correlations
TL;DR: In this paper, the authors examine the changing cross-country correlations in the G-7 countries and provide clues as to why they change and propose a method for forecasting multi-period equity correlations.
Journal ArticleDOI
‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion
TL;DR: This article developed a test of contagion in financial markets based on bivariate correlation analysis, which generalizes existing tests, and applies it to the international effects of the Hong Kong stock market crisis of October 1997.
ReportDOI
Long-Term Global Market Correlations
TL;DR: The authors decompose diversification benefits into two parts: one component due to variation in the average correlation across markets, and another part due to the variation in investment opportunity set, and infer that periods of globalization have both benefits and drawbacks for international investors.
Journal ArticleDOI
Stock market linkages: Evidence from Latin America
TL;DR: In this paper, the authors investigated the dynamic interdependence of the major stock markets in Latin America using data from 1995 to 2000, and found that there is one cointegrating vector which appears to explain the dependencies in prices.