BANK STOCK VOLATILITY AND CONTAGION: AN EMPIRICAL INVESTIGATION WITH APPLICATION OF MULTIVARIATE GARCH MODELS

Wided Ben Moussa

Journal of Economic Development, 2014, vol. 39, issue 2, 1-24

Abstract: This paper uses a multivariate GARCH modelling to describe the relationship between the systemic risk and the stock return in the banking industry in Thailand, Malaysia, Korea, Indonesia and Philippines. The banking industry comprises the large banks and the small-medium size banks. The advantage of this approach is the incorporation of time-variation in volatility consistent with empirical observations about the behaviour of stock return. Second the factor approach is adopted to incorporate intra-industry contagion within the banking sector. This so-called industry effect is designed to capture intra-industry information spillover between the large and the small-medium banks. Finally, the study provides evidence on these relations before and after the Asian financial crises of 1997, thereby implicitly testing for the impact of structural break.

Keywords: Risk; Contagion; Bivariate-GARCH Model (search for similar items in EconPapers)
JEL-codes: G01 G02 G21 G32 G33 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.jed.or.kr/full-text/39-2/1.pdf (application/pdf)

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:jed:journl:v:39:y:2014:i:2:p:1-24

Access Statistics for this article

Journal of Economic Development is currently edited by Sung Y. Park

More articles in Journal of Economic Development from Chung-Ang Unviersity, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sung Y. Park ().