This paper examines the impact of financial contagion resulting from global financial crises based on analyses of the global value premium as represented by thirteen countries. We propose a new model that is a composite of the asymmetric GARCH model and the Fama–French two factor model. Then...

This paper examines the impact of financial contagion resulting from global financial crises based on analyses of the global value premium as represented by thirteen countries. We propose a new model that is a composite of the asymmetric GARCH model and the Fama-French two factor model. Then we...