文章基本信息

标题：Financial Contagion in EFA Markets in Crisis Periods: A Multivariate GARCH Dynamic Conditional Correlation Framework
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作者：Mobeen Ur Rehman
期刊名称：The Lahore Journal of Economics
印刷版ISSN：1811-5438
电子版ISSN：1811-5446
出版年度：2016
卷号：21
期号：2
页码：121-151
出版社：Lahore School of Economics
摘要：This paper uses the multivariate GARCH dynamic conditional correlation framework proposed by Engle (2002) to investigate time-varying conditional correlation between developed markets and emerging and frontier Asian (EFA) markets. It employs monthly returns data for 2000–14 to capture the potential contagion in developed (the US, Europe and Japan) and EFA stock markets. A key finding is the increasing conditional correlation among EFA and developed markets, especially during the 2008 financial crisis. The study finds that, during periods of financial turmoil, EFA markets are exposed to shocks and spillover effects from developed markets along with a substantial shift in the regime of conditional correlation. This has important implications for investors interested in diversifying portfolios in EFA markets during financial crises.
关键词：Emerging and frontier Asian markets; financial contagion; financial crisis; dynamic conditional correlation.