Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises

Zouheir Mighri and Faysal Mansouri
Additional contact information
Faysal Mansouri: Department of Economics and Quantitative Methods.Institut des Hautes Etudes Commerciales de Sousse, University of Sousse, Tunisia

International Journal of Economics and Financial Issues, 2013, vol. 3, issue 3, 637-661

Abstract: This research examines the time-varying conditional correlations to the daily stock index returns. We use a dynamic conditional correlation (DCC) multivariate GARCH model in order to capture potential contagion effects between US and major developed and emerging stock markets during the 2007-2010 major financial crisis. Empirical results show substantial evidence of significant increase in conditional correlation or contagion as well as herding behavior during crisis periods. This result contrasts with the no contagion finding reached by Forbes and Rigobon (2002).

Keywords: Dynamic correlation; DCC-GARCH; contagion; financial crisis; stock markets. (search for similar items in EconPapers)
JEL-codes: C58 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.econjournals.com/index.php/ijefi/article/download/390/pdf (application/pdf)
http://www.econjournals.com/index.php/ijefi/article/view/390/pdf (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2013-03-8

Access Statistics for this article

International Journal of Economics and Financial Issues is currently edited by Ilhan Ozturk

More articles in International Journal of Economics and Financial Issues from Econjournals
Bibliographic data for series maintained by Ilhan Ozturk ().