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Financial Crises Contagion: Analysis of the Crise Contagion on the Conditional Volatility of ISE

Engin Cetinkaya and Erdinc Altay ()

Journal of BRSA Banking and Financial Markets, 2012, vol. 6, issue 2, 185-223

Abstract: In this research we analysed the contagion of 4 major global crises that are occured after 1990 on ISE conditional variance by using ARMA-EGARCH models. The evidence shows that Mexico, Southeast Asia and Russia crises have statistically significant effects on ISE conditional variance, so they are contaminated to ISE. On the other hand we could not reach an evidence of contagion towards Dow Jones Composite Index to ISE-100 Index during the first 1 year period of the last global crises that is assumed to be started in 11th September 2008. But the contagion is seen in the second 1 year period (14th September 2009-7th September 2010). The evidence shows that, during the crises periods, ISE and other indexes except RTS have asymmetric reactions to the information. In these periods, bad news create higher impacts on conditional variance than good news. On the other hand new information have consistent effects on conditional variances in all crise periods and in all indices.

Keywords: Contagion; Spillover; Volatility Spillover Effects; ISE; Crises (search for similar items in EconPapers)
JEL-codes: G01 G15 (search for similar items in EconPapers)
Date: 2012
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Handle: RePEc:bdd:journl:v:6:y:2012:i:2:p:185-223