 Global financial crisis and contagion: evidence for the Ebrici economiesJournal of Developing Areas, 2014, vol. 48, issue 4, 243-264 Abstract: The present study examined the effects of contagion from the developed markets (The US, the UK, and Japan) to the BRIC stock markets during the period of Jan 1996 to July 2011 using daily data. It applied Dynamic Condition Correlations (DCC) model and Asymmetric Generalized Dynamic Conditional Correlation (AG-DCC) approach to capture the effects of contagion originated from developed countries. Stock market indices are observed to display a persistent and high correlation between them during and after high volatility periods. Evidence on contagion implies that diversification sought by investing in multiple markets from different regional blocks is likely to be lower when it is most desirable. As a result, an investment strategy focused solely on international diversification seems not to work in practice during turmoil periods. Since countries and financial markets react differently to sovereign shocks, stocks from different emerging economies could provide advantages over debt-only or equity-only portfolios. Keywords: BRIC emerging markets; Global Financial Crisis and DCC and AGDCC GARCH (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:jda:journl:vol.48:year:2014:issue4:pp:243-264 Access Statistics for this article More articles in Journal of Developing Areas from Tennessee State University, College of Business Contact information at EDIRC. |
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