Financial crises and stock market contagion in a multivariate time-varying asymmetric framework
Financial crises and stock market contagion in a multivariate time-varying asymmetric framework
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DOI：
10.1016/j.intfin.2010.08.005
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发表时间：
2011-02-01
影响因子：
4
通讯作者：
Paltalidis, Nikos
中科院分区：
文献类型：
--
作者：
Kenourgios, Dimitris;Samitas, Aristeidis;Paltalidis, Nikos
本文研究了多元时变非对称框架中的金融传染，重点关注最近五次金融危机期间的四个新兴股票市场，即巴西、俄罗斯、印度、中国（金砖四国）和两个发达市场（美国和英国）。具体来说，多元状态切换高斯关联模型和非对称广义动态条件相关（AG-DCC）方法都用于捕获 1995 年至 2006 年期间的非线性相关动态。经验证据证实，对于每一次所研究的金融危机，危机国家都会对所有其他国家产生传染效应。研究结果还表明，新兴金砖四国市场更容易受到金融传染，而特定行业的动荡比特定国家的危机影响更大。我们的研究结果表明，应对危机的政策不太可能阻止各国之间的蔓延，从而在最理想的情况下减少国内风险在国际上的分散程度。 (C) 2010 Elsevier B.V. 保留所有权利。
This paper investigates financial contagion in a multivariate time-varying asymmetric framework, focusing on four emerging equity markets, namely Brazil, Russia, India, China (BRIC) and two developed markets (U. S. and U. K.), during five recent financial crises. Specifically, both a multivariate regime-switching Gaussian copula model and the asymmetric generalized dynamic conditional correlation (AG-DCC) approach are used to capture non-linear correlation dynamics during the period 1995-2006. The empirical evidence confirms a contagion effect from the crisis country to all others, for each of the examined financial crises. The results also suggest that emerging BRIC markets are more prone to financial contagion, while the industry-specific turmoil has a larger impact than country-specific crises. Our findings imply that policy responses to a crisis are unlikely to prevent the spread among countries, making fewer domestic risks internationally diversifiable when it is most desirable. (C) 2010 Elsevier B. V. All rights reserved.