New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach

Ryan Suleimann Lemand ()

Econometrics from EconWPA

Abstract: The episodes of stock market crises in Europe and the U.S.A. since the year 2000,and the fragility of the New Technology sector after the explosion of the speculative bubble,have sparked the interest of researchers in understanding and in modeling this market’s high volatility to prevent against crises.The strong linkage of the American and European New Technology sectors has brought up the co-movement and the contagion hypothesis,especially after the fall in new technology stock prices in Europe following the explosion of the IT speculative bubble in the U.S.A.In this article,we attempt to show that the NASDAQ- 100 is a major origin for the shocks that the IT.CAC and the NEMAX undergo.We construct a VAR model with GARCH errors to show this linkage and we find that the NASDAQ-100 has a strong effect on the French IT.CAC;this approach is an original work on contagion in the case of stock market indexes.

Keywords: Conditional Variance; Regime Changes; New Technologies; Contagion; Volatility; VAR; Causality. (search for similar items in EconPapers)
JEL-codes: C22 C32 C52 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn, nep-ets and nep-rmg
Date: 2003-07-17, Revised 2003-07-18
Note: Type of Document - PDF; prepared on PC-LaTeX; to print on any;
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0307003

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