期刊名称:International Journal of Economics and Financial Issues
电子版ISSN:2146-4138
出版年度:2013
卷号:3
期号:3
页码:637-661
语种:English
出版社:EconJournals
摘要:This research examines the time-varying conditional correlations to the daily stock index returns. We use a dynamic conditional correlation (DCC) multivariate GARCH model in order to capture potential contagion effects between US and major developed and emerging stock markets during the 2007-2010 major financial crisis. Empirical results show substantial evidence of significant increase in conditional correlation or contagion as well as herding behavior during crisis periods. This result contrasts with the “no contagion” finding reached by Forbes and Rigobon (2002). Keywords: Dynamic correlation; DCC-GARCH; contagion; financial crisis; stock markets. JEL Classifications: C58