Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH-DCC approach
Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH-DCC approach
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DOI：
10.1016/j.irfa.2013.05.008
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发表时间：
2013-12-01
影响因子：
8.2
通讯作者：
Simos, Theodore
中科院分区：
文献类型：
--
作者：
Dimitriou, Dimitrios;Kenourgios, Dimitris;Simos, Theodore
本文在多元分数积分非对称权力ARCH （FIAPARCH）动态条件相关（DCC）框架下实证研究了1997-2012年全球金融危机的传染效应。我们专注于五个最重要的新兴股票市场，即巴西、俄罗斯、印度、中国和南非（BRIGS），以及危机不同阶段的美国。危机的长度和阶段是根据经济和统计方法确定的。在危机的早期阶段，经验证据并未证实大多数金砖国家存在传染效应，这表明存在孤立或脱钩的迹象。然而，在雷曼兄弟（Lehman Brothers）破产后，这种联系重新出现（重新挂钩），表明投资者的风险偏好发生了转变。此外，所有金砖国家和美国之间的相关性从2009年初开始增加，这意味着它们在看涨市场的依赖性大于看跌市场。这些发现并没有显示出一种传染模式，这种传染模式可以归因于金砖四国共同的贸易和金融特征，并为国际投资者和政策制定者提供重要启示。(C) 2013爱思唯尔公司版权所有。
This paper empirically investigates the contagion effects of the global financial crisis in a multivariate Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) dynamic conditional correlation (DCC) framework during the period 1997-2012. We focus on five most important emerging equity markets, namely Brazil, Russia, India, China and South Africa (BRIGS), as well as USA during different phases of the crisis. The length and the phases of the crisis are identified based on both an economic and a statistical approach. The empirical evidence does not confirm a contagion effect for most BRICS during the early stages of the crisis, indicating signs of isolation or decoupling. However, linkages reemerged (recoupled) after the Lehman Brothers collapse, suggesting a shift on investors' risk appetite. Moreover, correlations among all BRICS and USA are increased from early 2009 onwards, implying that their dependence is larger in bullish than in bearish markets. These findings do not show a pattern of contagion for all BRICSs' markets that could be attributed to their common trade and financial characteristics and provide important implications for international investors and policymakers. (C) 2013 Elsevier Inc. All rights reserved.