Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/45845
Authors: 
Kazi, Irfan Akbar
Guesmi, Khaled
Kaabia, Olfa
Year of Publication: 
2011
Series/Report no.: 
Economics Discussion Papers 2011-15
Abstract: 
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.
Subjects: 
Financial crisis
integration
contagion
multivariate GARCH-DCC model
JEL: 
E44
F15
F36
F41
Creative Commons License: 
http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
Document Type: 
Working Paper

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