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Financial crises and stock market contagion in a multi-variate time varying asymmetric framework.

Kenourgios, D.; Samitas, A.; Paltalidis, N.

Authors

D. Kenourgios

A. Samitas



Abstract

This paper investigates financial contagion in a multivariate time-varying asymmetric framework, focusing on four emerging equity markets, namely Brazil, Russia, India, China (BRIC) and two developed markets (U.S. and U.K.), during five recent financial crises. Specifically, both a multivariate regime-switching Gaussian copula model and the asymmetric generalized dynamic conditional correlation (AG-DCC) approach are used to capture non-linear correlation dynamics during the period 1995–2006. The empirical evidence confirms a contagion effect from the crisis country to all others, for each of the examined financial crises. The results also suggest that emerging BRIC markets are more prone to financial contagion, while the industry-specific turmoil has a larger impact than country-specific crises. Our findings imply that policy responses to a crisis are unlikely to prevent the spread among countries, making fewer domestic risks internationally diversifiable when it is most desirable.

Citation

Kenourgios, D., Samitas, A., & Paltalidis, N. (2011). Financial crises and stock market contagion in a multi-variate time varying asymmetric framework. Journal of International Financial Markets, Institutions and Money, 21(1), 92-106. https://doi.org/10.1016/j.intfin.2010.08.005

Journal Article Type Article
Acceptance Date Aug 31, 2010
Online Publication Date Sep 16, 2010
Publication Date 2011-02
Deposit Date Sep 23, 2015
Journal Journal of International Financial Markets, Institutions and Money
Print ISSN 1042-4431
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 21
Issue 1
Pages 92-106
DOI https://doi.org/10.1016/j.intfin.2010.08.005
Keywords Financial crises, Contagion, Multivariate regime-switching copula, AG-DCC model.
Public URL https://durham-repository.worktribe.com/output/1399470