To model the contemporaneous relationships among Asian and American stock markets, a simultaneous equation system with GARCH errors is introduced. In the estimated residuals, the correlation matrix is analyzed over rolling windows and using a correlation matrix distance, which allows a graphical analysis and the development of a statistical test of correlation movements. Furthermore, a methodology that can be used to identify turmoil periods on a data-driven basis is presented. The previous results are applied in the analysis of the contagion issue between Asian and American stock markets. The results show some evidence of contagion, and the proposed statistics identify, on a data-driven basis, turmoil periods consistent with the ones currently assumed in the literature.
|Data di pubblicazione:||2010|
|Titolo:||Market Linkages, Variance Spillover and Correlation Stability: Empirical Evidences of Financial Contagion|
|Rivista:||COMPUTATIONAL STATISTICS & DATA ANALYSIS|
|Digital Object Identifier (DOI):||http://dx.doi.org/10.1016/j.csda.2009.03.018|
|Appare nelle tipologie:||2.1 Articolo su rivista |
File in questo prodotto:
|Billio Caporin CSDA10.pdf||Documento in Post-print||Accesso chiuso-personale||Riservato|