Contagion in International Stock and Currency Markets During Recent Crisis Episodes
Pami Dua () and
No 258, Working papers from Centre for Development Economics, Delhi School of Economics
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.
Keywords: Financial contagion; Global Financial Crisis; Eurozone Crisis; Dynamic Conditional Correlation; Markov Switching; Financial Stress (search for similar items in EconPapers)
JEL-codes: F30 G15 C32 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:cde:cdewps:258
Ordering information: This working paper can be ordered from
The price is free.
Access Statistics for this paper
More papers in Working papers from Centre for Development Economics, Delhi School of Economics Delhi 110 007. Contact information at EDIRC.
Series data maintained by Sanjeev Sharma ().