The more contagion effect on emerging markets: The evidence of DCC-GARCH model

2012 ◽  
Vol 29 (5) ◽  
pp. 1946-1959 ◽  
Author(s):  
Sibel Celık
Keyword(s):  
Emerging Markets ◽  
Garch Model ◽  
Contagion Effect

Measuring the Contagion Effect in Emerging Markets

2019 ◽  
pp. 149-164
Author(s):  
Igor Alexandre Clemente de Morais ◽  
Guilherme Ribeiro de Macêdo ◽  
Marcia Regina Godoy ◽  
Leonardo Berteli Piveta
Keyword(s):  
Emerging Markets ◽  
Contagion Effect

scholarly journals Detecting Shocks in The Economic Development Dynamics of Selected Countries

2014 ◽  
Vol 13 (2) ◽  
pp. 120-133
Author(s):  
Anna Janiga-Ćmiel
Keyword(s):  
Estimation Method ◽  
Garch Model ◽  
Positive Definite ◽  
Multivariate Garch ◽  
Contagion Effect ◽  
Multivariate Models ◽  
The United Kingdom ◽  
Multivariate Garch Model ◽  
Polish Economy ◽  
The Impact

Abstract The paper examines the development of the Polish economy as well as the economies of selected countries in the period from 2001 to 2012. For that purpose, models based on the GDP growth in particular countries were built. A comparative analysis of the development of economies in the countries concerned (the United Kingdom, Belgium, Denmark, France, Poland, the Netherlands), based on a specially built full-factor multivariate GARCH model, is presented. The theory of the construction of a full-factor multivariate GARCH model and its estimation method are discussed. In the paper, a multivariate GARCH model where the covariance matrix is always positive, definite and the number of parameters is relatively small compared to other multivariate models is proposed. The causality of the impact that economies exert on one another is examined and the occurrence of the contagion effect is verified by means of the Forbes and Rigobon test.

scholarly journals Financial Risk Contagion in Stock Markets: Causality and Measurement Aspects

2019 ◽  
Vol 11 (5) ◽  
pp. 1402 ◽  
Author(s):  
Guoxiang Xu ◽  
Wangfeng Gao
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
Stock Markets ◽  
Financial Risk ◽  
Tail Dependence ◽  
Chinese Stock Market ◽  
Contagion Effect ◽  
Subprime Mortgage ◽  
Stock Market Crash ◽  
Mortgage Crisis

As global financial markets become highly dependent on each other, risk contagion among stock markets is a primary feature of progressing globalization, which poses uncertainties for government agencies. The deficiency of previous studies is that it is difficult to accurately grasp the direction of risk diffusion in different time periods, and to depict the intensity of risk contagion constantly. Research on causality and measurement of financial risk contagion based on nonlinear causality tests and dynamic Copula methods will help governments to allocate financial resources reasonably and effectively, thus promoting the sustainable development of the social economy and financial markets. Taking the Chinese stock market as an example, this paper evaluated the risk contagion effect between the Chinese stock market and six other stock markets including developed and emerging markets from January 2006 to December 2018. From the aspect of causality, the nonlinear Granger causality test was applied to the entire time period and the phased time periods involving specific events like the subprime mortgage crisis and the Chinese stock market crash. From the aspect of measurement, the dynamic Markov state transition Copula model was used to describe the asymmetrically dependent structure of markets, from which was derived the time-varying lower tail dependence coefficients. The results have been summarized as follows. Firstly, after the outbreak of the subprime mortgage crisis, the stock markets in developed and emerging markets unilaterally affected the Chinese stock market, indicating that China was the recipient at this stage. Then, after the outbreak of the Chinese stock market crash, the Chinese stock market had a risk contagion effect on both Japanese and Russian stock markets, indicating that China became a source of financial risk contagion within a limited area at this stage. Lastly, in terms of the degree of risk contagion, the lower tail dependence coefficients of the Chinese stock market and other markets were significantly increased after the occurrence of specific risk events, while the risk contagion degree of developed markets was higher than that of emerging markets. Policymakers can recognize and apply the characteristics of risk contagion at different stages to refrain from unreasonable institutional arrangements, thus improving the sustainability of economic development.

scholarly journals Volatility Contagion of Stock Returns of Microfinance Institutions in Emerging Markets: A DCC-M-GARCH Model

2018 ◽  
Vol 13 (3) ◽  
pp. 325-343
Author(s):  
Roberto Alejandro Ramírez-Silva ◽  
◽  
Salvador Cruz-Aké ◽  
Francisco Venegas-Martínez
Keyword(s):  
Emerging Markets ◽  
Stock Returns ◽  
Garch Model ◽  
Microfinance Institutions

scholarly journals Volatility Contagion of Stock Returns of Microfinance Institutions in Emerging Markets: A DCC-M-GARCH Model

2018 ◽  
Vol 13 (3) ◽  
pp. 325-343
Author(s):  
Roberto Alejandro Ramírez-Silva ◽  
◽  
Salvador Cruz-Aké ◽  
Francisco Venegas-Martínez
Keyword(s):  
Emerging Markets ◽  
Stock Returns ◽  
Garch Model ◽  
Microfinance Institutions

scholarly journals Contagion between Islamic and Conventional Banks in Malaysia: Empirical Investigation using a DCC-GARCH Model

2018 ◽  
Vol 31 (1) ◽  
pp. 167-178
Author(s):  
Monia Ben Latifa Monia Ben Latifa
Keyword(s):  
Empirical Investigation ◽  
Garch Model ◽  
Financial Contagion ◽  
Islamic Banks ◽  
Contagion Effect ◽  
Conditional Correlation ◽  
Dynamic Conditional Correlation ◽  
Conventional Banks ◽  
The Stability ◽  
Conventional And Islamic Banks

The purpose of this paper is to compare the stability, in terms of contagion, of conventional and Islamic banks in Malaysia. We use a DCC-GARCH model to estimate the dynamic conditional correlation (a measure of financial contagion) for a sample of one Islamic bank and eight conventional banks during the period from March 31, 2004 to March 18, 2014. From the empirical findings, we show that the conditional correlation between the returns of conventional and Islamic banks in Malaysia increased during the period of financial crisis. This finding implies the existence of a financial contagion effect between Islamic and conventional banks in Malaysia. Also, we find that financial contagion represents a major factor for the transmission of risk between Islamic and conventional banks.

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