Artikel
Contagion risks in emerging stock markets: New evidence from Asia and Latin America
The purpose of this study is to investigate whether contagion actually occurred during three well-known financial crises in 1990s and 2000s: Mexican 'Tequila' crisis in 1994, Asian 'flu' crisis in 1997 and US subprime crisis in 2007. We apply dynamic conditional correlation models (DCC-GARCH(1,1)) to daily stock-index returns of eight Asian stock markets, six Latin American stock markets and US stock market. Defining contagion as a significant increase of dynamic conditional correlations, we test for contagion by using a difference test for DCC means. The results obtained shows that there is a pure contagion from crisis-originating markets to other emerging stock markets during these three crisis. However, the contagion effects are different from one crisis to the other. Firstly, during the Mexican crisis, contagion is detected in only the Latin American region. Secondly, during the Asian crisis, we find evidence of contagion in some markets in both the Asian and Latin American regions. Finally, contagion is proved to be present in all stock markets with the only exception for Brazil during US subprime crisis.
- Sprache
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Englisch
- Erschienen in
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 11 ; Year: 2018 ; Issue: 4 ; Pages: 1-20 ; Basel: MDPI
- Klassifikation
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Wirtschaft
International Finance: General
General Financial Markets: General (includes Measurement and Data)
International Financial Markets
- Thema
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international financial contagion
shift contagion
emerging stock markets
Asian crisis
Mexican crisis
US subprime crisis
DCC-GARCH
- Ereignis
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Geistige Schöpfung
- (wer)
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Thi Bich Ngoc Tran
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
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2018
- DOI
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doi:10.3390/jrfm11040089
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Thi Bich Ngoc Tran
- MDPI
Entstanden
- 2018
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