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The more contagion effect on emerging markets: The evidence of DCC-GARCH model

Celık, Sibel - In: Economic Modelling 29 (2012) 5, pp. 1946-1959

The paper aims to test the existence of financial contagion between foreign exchange markets of several emerging and … developed countries during the U.S. subprime crisis. As a result of DCC-GARCH analysis, we find the evidence of contagion during … be the most influenced by the contagion effects during U.S. subprime crisis. Since financial contagion is important for …

Persistent link: https://www.econbiz.de/10011048686

Volatility and dynamic conditional correlations of worldwide emerging and frontier markets

Baumöhl, Eduard; Lyócsa, Štefan - In: Economic Modelling 38 (2014) C, pp. 175-183

This study examines the relationship between time-varying correlations and conditional volatility among 32 worldwide emerging and frontier stock markets and the MSCI World stock market index from January 2000 to December 2012. Correlations are estimated in the standard and asymmetric dynamic...

Persistent link: https://www.econbiz.de/10011048880

Does Bayesian shrinkage help to better reflect what happened during the subprime crisis?

Kaabia, Olfa; Abid, Ilyes; Guesmi, Khaled - In: Economic Modelling 31 (2013) C, pp. 423-432

We study the contagion effects of a U.S. housing shock on OECD countries over the period of the subprime crisis …

Persistent link: https://www.econbiz.de/10010636255

How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test

Hatemi-J, Abdulnasser; Roca, Eduardo - In: Economic Modelling 28 (2011) 6, pp. 2560-2565

This paper utilizes a new contagion test based on case-resampling bootstrap technique to investigate whether there is … any contagion effect in the interaction of the US real estate market with those of Australia, Japan and the UK arising out … contagion effect. Its relationship with the other markets is rather characterized by dependency behavior that prevails …

Persistent link: https://www.econbiz.de/10010573305

Determinants of stock market comovements among US and emerging economies during the US financial crisis

Hwang, Eugene; Min, Hong-Ghi; Kim, Bong-Han; Kim, Hyeongwoo - In: Economic Modelling 35 (2013) C, pp. 338-348

economies. While a group of countries has three distinctive phases of crisis spillover (contagion, herding, and post …

Persistent link: https://www.econbiz.de/10010719370

The sovereign spread in Asian emerging economies: The significance of external versus internal factors

Banerji, Sanjay; Ventouri, Alexia; Wang, Zilong - In: Economic Modelling 36 (2014) C, pp. 566-576

This paper investigates the dynamic relations between external factors, domestic macroeconomic factors with sovereign spreads, debt to GDP ratio, etc. in Asian emerging countries. First, we develop a theoretical model that determines the equilibrium debt level, probability of default and...

Persistent link: https://www.econbiz.de/10010729809

Cross-market index with Factor-DCC

Aboura, Sofiane; Chevallier, Julien - In: Economic Modelling 40 (2014) C, pp. 158-166

This paper proposes a new empirical methodology for computing a cross-market index – coined CMI – based on the Factor DCC-model. This approach solves both problems of treating high-dimensional data and estimating time-varying conditional correlations. We provide an application to a...

Persistent link: https://www.econbiz.de/10010781956

Stock market integration of emerging Asian economies: Patterns and causes

Narayan, S.; Sriananthakumar, S.; Islam, S.Z. - In: Economic Modelling 39 (2014) C, pp. 19-31

In this study, we examine the patterns and causes of stock market integration of selected emerging Asian nations against the US, Australia, China, and India for the period 1 January 2001 to 31 March 2012. We compare patterns of market integration for countries on a daily, weekly, or monthly...

Persistent link: https://www.econbiz.de/10010781965

Dynamic relationship between Turkey and European countries during the global financial crisis

Sensoy, Ahmet; Soytas, Ugur; Yildirim, Irem; … - In: Economic Modelling 40 (2014) C, pp. 290-298

This study examines the relationship between time-varying risk perceptions of investors towards major European countries and Turkey. In that manner, we first obtain the dynamic conditional correlations between the credit default spreads (CDSs) of Turkey and 13 European countries from September...

Persistent link: https://www.econbiz.de/10010782005

Stock market comovements in Central Europe: Evidence from the asymmetric DCC model

Gjika, Dritan; Horváth, Roman - In: Economic Modelling 33 (2013) C, pp. 55-64

We examine time-varying stock market comovements in Central Europe employing the asymmetric dynamic conditional correlation multivariate GARCH model. Using daily data from 2001 to 2011, we find that the correlations among stock markets in Central Europe and between Central Europe vis-à-vis the...

Persistent link: https://www.econbiz.de/10011048879