Contagion between markets during financial crises
Muñoz, Pilar (Universitat Politècnica de Catalunya)
Márquez Cebrián, Ma. Dolores (Universitat Autònoma de Barcelona. Departament d'Economia i d'Història Econòmica)
Chuliá, Helena (Universitat Oberta de Catalunya)

Date:	2010
Description:	28 pàg.
Abstract:	In this work we investigate how a number of crises have affected most of the stock markets in the world. First, we apply Time Series Factors Analysis (TSFA) in order to reduce the dimensionality of the series under study and obtain a lower number of factors that can be related to regions. Then we use the dynamic conditional correlation (DCC) model to obtain the pair-wise correlations between regions. Finally, we analyse the effect of the different crisis on correlations. This approach allows us to detect contagion between markets during the most important crisis. Our results show evidence of a contagion effect between most regions.
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Language:	Anglès
Document:	Article ; recerca ; Versió sotmesa a revisió
Subject:	Contagion ; Multivariate Volatility ; Time Series Factor ; Analysis and Dynamic Conditional Correlation

DOI: 10.2139/ssrn.1654262

Preprint 28 p, 341.7 KB

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