Revisiting the Contagion Effect in International Stock Markets: An Approach Based on Endogenous Crises (notice n° 548042)
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|---|---|
| fixed length control field | 01577cam a2200277 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250121115032.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Brik, Hatem |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Revisiting the Contagion Effect in International Stock Markets: An Approach Based on Endogenous Crises |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2024.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 64 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | 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. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Shock transmission |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Contagion effect |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Crisis |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Stock market |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Crisis. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Shock transmission |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Contagion effect |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Stock market |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | El Ouakdi, Jihene |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Ftiti, Zied |
| Relator term | author |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Recherches en Sciences de Gestion | o 159 | 6 | 2024-02-26 | p. 41-69 | 2259-6372 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/journal-recherches-en-sciences-de-gestion-2023-6-page-41?lang=en&redirect-ssocas=7080">https://shs.cairn.info/journal-recherches-en-sciences-de-gestion-2023-6-page-41?lang=en&redirect-ssocas=7080</a> |
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