Determinants of stock market comovements among US and emerging economies during the US financial crisis
Bong-Han Kim and
Hyeongwoo Kim ()
Economic Modelling, 2013, vol. 35, issue C, 338-348
By analyzing the dynamic conditional correlations (DCC) of the daily stock returns of 10 emerging economies in comparison with those of the US for the period of 2006–2010, we find different patterns of crisis spillover among 10 emerging economies. While a group of countries has three distinctive phases of crisis spillover (contagion, herding, and post-crisis adjustment), other groups show different phases of crisis spillover. It is also shown that increases in CDS spread and TED spread decrease conditional correlations while increases in foreign institutional investment, exchange market volatility, and the VIX index of the S&P 500 increase conditional correlations.
Keywords: Dynamic conditional correlations; Contagion; Herding; US financial crisis; VIX index; CDS spread (search for similar items in EconPapers)
JEL-codes: F31 G15 (search for similar items in EconPapers)
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