Economics at your fingertips  

Multivariate conditional heteroscedasticity models with dynamic correlations for testing contagion

Sivagowry Sriananthakumar and Param Silvapulle ()

Applied Financial Economics, 2008, vol. 18, issue 4, 267-273

Abstract: This paper models dynamic correlations between the Asian stock market returns and studies their behaviour over the period before, during and after the Asian financial crisis, which occurred in the 1990s. To establish the presence of contagion effect, this paper investigates whether or not there is a break-down in the correlation data generating process, particularly, during crises. The East Asian block-Thai, Malaysian, Indonesian and Korean-countries stock markets were considered in this study. Using multivariate generalised autoregressive conditional heteroscedasticity (MGARCH) models with dynamic correlations, this study finds strong evidence of contagion effects between (Thailand and Malaysia), (Thailand and Korea), (Malaysia and Korea) and (Korea and Indonesia).

Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link) (text/html)
Access to full text is restricted to subscribers.

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:

Ordering information: This journal article can be ordered from

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

Page updated 2019-08-23
Handle: RePEc:taf:apfiec:v:18:y:2008:i:4:p:267-273