Global Financial Crisis and Emerging Stock Market Contagion: A Multivariate FIAPARCH-DCC Approach

By D. Dimitriou, Dimitris Kenourgios, T. E. Simos. 2013

364 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/04a97fb7dec7d4ac26273ec278092ee793f6c391

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Sang Hoon Kang
2. Walid Mensi
3. Duc Khuong Nguyen
4. Shawkat Hammoudeh
5. Ahmet Sensoy
6. Juan Carlos Reboredo
7. Sabri Boubaker
8. Abul Shamsuddin

In Finance

1. Sang Hoon Kang
2. Duc Khuong Nguyen
3. Walid Mensi
4. Shawkat Hammoudeh
5. Juan Carlos Reboredo
6. Ahmet Sensoy
7. Abul Shamsuddin
8. Muhammad Safiullah

Citations in the corpus

• Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic (2020, neutral): “, 2014; between the US, the EU and the BRIC markets (Bekiros, 2014; Kenourgios et al., 2011; Syriopoulos et al., 2015; Dimitriou et al., 2013), to name but a few.”
• Financial contagion during COVID–19 crisis (2020, positive): “The results of higher DCCs during this crisis period are consistent with those studies on the global financial crisis (Akhtaruzzaman et al., 2014; Dimitriou et al., 2013; Kim et al., 2015).”
• Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors (2014, background): “18 around the 2008-2009 global financial crisis and the 2009-2012 Eurozone crisis (Ahmad et al., 2013; Dimitriou et al., 2013).”
• Global financial crisis and spillover effects among the U.S. and BRICS stock markets (2016, methodology): “These indices are quoted in U.S. dollars in order to have conformity and to avoid the effects of local inflation and national currency fluctuations on the indexes, as indicated by Bekaert and Harvey (1995) and Dimitriou et al. (2013).”
• Do global factors impact BRICS stock markets? A quantile regression approach (2014, methodology): “Using the multivariate Dynamic Conditional Correlation – Fractionally Integrated Asymmetric Power ARCH (DCC-FIAPARCH) model, Dimitriou et al. (2013) find an increasing co-movement between the BRICS and U.S. markets during the post-crisis period (from early 2009 onwards), implying that the…”
• Risk in Islamic banking and corporate governance (2018, background): “…by defining the years 2007, 2008 and 2009, respectively, as the initial financial turmoil, sharp financial market deterioration and macroeconomic deterioration phases of the GFC (following Dimitriou et al., 2013), and then interacting these phases' dummy variables with the Islamic bank dummy.”