Arbeitspapier
Contagion effect of financial crisis on OECD stock markets
In this paper we investigate the contagion effect between stock markets of U.S and sixteen OECD countries due to Global Financial Crisis (2007-2009). We apply Dynamic Conditional Correlation GARCH model Engle (2002) to daily stock price data (2002-2009). In order to recognize the contagion effect, we test whether the mean of the DCC coefficients in crisis period differs from that in the pre-crisis period. The identification of break point due to the crisis is made by Bai-Perron (1998, 2003) structural break test. We find a significant increase in the mean of dynamic conditional correlation coefficient between U.S and OECD stock markets under study during the crisis period for most of the countries. This proves the existence of contagion between the US and the OECD stock markets.
- Sprache
-
Englisch
- Erschienen in
-
Series: Economics Discussion Papers ; No. 2011-15
- Klassifikation
-
Wirtschaft
Financial Markets and the Macroeconomy
Economic Integration
Financial Aspects of Economic Integration
Open Economy Macroeconomics
- Thema
-
Financial crisis
integration
contagion
multivariate GARCH-DCC model
Börsenkrise
Finanzmarktkrise
Ansteckungseffekt
Schätzung
Aktienmarkt
USA
OECD-Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kazi, Irfan Akbar
Guesmi, Khaled
Kaabia, Olfa
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for the World Economy (IfW)
- (wo)
-
Kiel
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Kazi, Irfan Akbar
- Guesmi, Khaled
- Kaabia, Olfa
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2011
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