Revisiting the Contagion Effect in International Stock Markets: An Approach Based on Endogenous Crises
Brik, Hatem
Revisiting the Contagion Effect in International Stock Markets: An Approach Based on Endogenous Crises - 2024.
64
This paper aims to identify the presence of a contagion effect based on a MS VAR model, with constraints on the variance-covariance matrix and setting endogenously intervals characterized by different volatilities. The results show that for developed countries, a positive (negative) shock in a market has a positive (negative) short-term impact on other stock markets. The contagion effect of an emerging country to other countries of the continent is relatively more significant than in developed countries. Considering the regime change, the results show that the impact of S&P500 shocks on NIKKEI 225 returns is higher in the high volatility regime.Classification JEL: F36; C32; G15.
Revisiting the Contagion Effect in International Stock Markets: An Approach Based on Endogenous Crises - 2024.
64
This paper aims to identify the presence of a contagion effect based on a MS VAR model, with constraints on the variance-covariance matrix and setting endogenously intervals characterized by different volatilities. The results show that for developed countries, a positive (negative) shock in a market has a positive (negative) short-term impact on other stock markets. The contagion effect of an emerging country to other countries of the continent is relatively more significant than in developed countries. Considering the regime change, the results show that the impact of S&P500 shocks on NIKKEI 225 returns is higher in the high volatility regime.Classification JEL: F36; C32; G15.
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