Financial crises and stock market contagion in a multivariate time-varying asymmetric framework

By Dimitris Kenourgios, Aristeidis Samitas, Nikos Paltalidis. 2011

432 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1b60f63c77ad533a7ba75ba16ceb4166370fd758

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Citations in the corpus

Do global factors impact BRICS stock markets? A quantile regression approach (2014, methodology): “The solution to this problem is obtained using the linear programming algorithm suggested by Koenker and D’Orey (1987). The standard errors for the estimated coefficients can be obtained using the pairs bootstrapping procedure proposed by Buchinsky (1995) since it provides standard errors that are a”
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.”
On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010 (2014, result): “Aloui et al. (2011), Kenourgios et al. (2011), Samarakoon (2011), and Dufrénot et al. (2011) among others find indeed an increase in dependence between international stock markets, and similar findings are reported by Coudert et al. (2011) and Bubak et al. (2011) for foreign exchange markets.”