Spillover effects of the 2008 financial crisis on NIE stock markets

被引：2

作者：

Hwang, Jae-Kwang ^{[1
]}

Ogwu, Alex ^{[2
]}

机构：

[1] Virginia State Univ, Dept Accounting & Finance, Petersburg, VA 23806 USA

[2] Elizabeth City State Univ, Dept Business & Econ, Elizabeth City, NC 27909 USA

来源：

APPLIED ECONOMICS LETTERS | 2016年 / 23卷 / 18期

关键词：

Contagion; spillover effects; DCC-GARCH; the 2008 financial crisis; G15; G19; G10;

D O I：

10.1080/13504851.2016.1150939

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article estimates dynamic conditional correlations of stock returns across countries by using DCC-GARCH model and analyse spillover effects of the 2008 financial crisis on the NIE's stock markets. The results show that there is no regime shift in mean equation of the correlation coefficient during the financial crisis. It may imply there are no mean spillover effects of the US financial crisis on the NIE's stock markets. However, there are volatility spillover effects of the financial crisis sparked in 2008 from the US to the NIE's markets.

引用

页码：1261 / 1264

页数：4

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