Measuring financial contagion between major european stock markets via the regime-switching vine copula model

2018 ◽  
Vol 0 (0) ◽  
pp. 0-0
Author(s):  
Jui-Jung Tsai ◽  
◽  
Yang-Chao Wang ◽  
Jiarong Zhang ◽  
◽  
...  
Keyword(s):  
Stock Markets ◽  
Regime Switching ◽  
Financial Contagion ◽  
Copula Model ◽  
Vine Copula ◽  
European Stock Markets

scholarly journals Sudden Changes In Volatility In European Stock Markets

2014 ◽  
Vol 30 (6) ◽  
pp. 1567
Author(s):  
Khaled Guesmi ◽  
Frederic Teulon ◽  
Zied Ftiti
Keyword(s):  
United Kingdom ◽  
Financial Crisis ◽  
Stock Markets ◽  
Regime Switching ◽  
Currency Crisis ◽  
East Asian ◽  
Subprime Crisis ◽  
Asian Currency Crisis ◽  
European Stock Markets ◽  
The U.S

This paper studiesthe volatility in ten Europeanstock markets (Denmark, France, Germany, Ireland, Italy, Netherland, Spain, Sweden,Switzerland and United Kingdom) during the periods of financial crisis (East Asian currency crisis, Subprime crisis) from 1990 to 2012. We apply Markov Regime Switching SW-GARCHmodel. Our results show that mostof the European stock markets are closely interlinked to the U.S.

The Eurozone crisis and its contagion effects on the European stock markets

2014 ◽  
Vol 31 (3) ◽  
pp. 325-352 ◽  
Author(s):  
Wasim Ahmad ◽  
N.R. Bhanumurthy ◽  
Sanjay Sehgal
Keyword(s):  
Stock Markets ◽  
Regime Switching ◽  
Financial Integration ◽  
Policy Research ◽  
Financial Contagion ◽  
The European Union ◽  
Eurozone Crisis ◽  
Content Type ◽  
Crisis Period ◽  
Contagion Effects

Purpose – This paper aims to examine the contagion effects of Greece, Ireland, Portugal, Spain and Italy (GIPSI) and US stock markets on seven Eurozone and six non-Eurozone stock markets. Design/methodology/approach – In this paper, a dynamic conditional correlation (DCC) model popularly known as DCC-GARCH (Generalized Autoregressive Conditional Heteroscedasticity) model given by Engle (2002) is applied to estimate the DCCs across sample markets. Findings – Analyzing the Eurozone crisis period, the empirical results suggest that among GIPSI stock markets, Spain, Italy, Portugal and Ireland appear to be most contagious for Eurozone and non-Eurozone markets. The study finds that France, Belgium, Austria and Germany in Eurozone and UK, Sweden and Denmark in non-Eurozone are strongly hit by the contagion shock. Practical implications – The findings of the study have significant implications for the concerned regulatory authorities, as it may provide an important direction for further policy research with regard to financial integration in the European Union (EU). From global investors’ perspective, the EU-based diversification strategies seem to be inefficient especially during Eurozone crisis. Originality/value – To the best of the authors’ knowledge, this is the first study that examines the issue of financial contagion of Eurozone crisis for a large basket of stock markets of European countries comprising seven Eurozone and six non-Eurozone markets for the period 2009-2012. The study uses the Markov regime switching model to identify crisis period and utilizes the DCC estimates of DCC-GARCH to examine the patterns of financial contagion. The finding of this study is quite interesting and is different in several ways than existing studies in the literature.

Sign in / Sign up

Export Citation Format

Share Document