期刊
ECONOMIC MODELLING
卷 59, 期 -, 页码 249-261出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.econmod.2016.07.013
关键词
Financial contagion; Global financial crisis; Eurozone crisis; Dynamic conditional correlation; Markov switching; Financial stress
类别
This paper investigates contagion across stock and currency markets of China, Eurozone, India, Japan and US during global financial crisis and Eurozone crisis. The crisis periods are selected using Markov-switching models for US and Eurozone markets. We, then, utilize the DCC-GARCH model to estimate conditional correlation among the assets and test for contagion/flight to quality effects during the crises. The results show significant contagion as well as flight to quality effects both across and within asset classes. We examine the impact of financial stress index on the correlation across markets and find that portfolio diversification benefits for equity markets may be non-existent. (C) 2016 Elsevier B.V. All rights reserved.
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