What is it about?
In this article, we try to determine whether there are contagion effects across the Greek stock market and the Belgian, French, Portuguese, Irish, Italian and Spanish stock markets during both crises periods.
Featured Image
Photo by Kanchanara on Unsplash
Why is it important?
The originality of this work lies in studying contagion effect across the Eurozone stock markets through the bivariate DCC-GARCH model which is an original dynamic estimation of conditional correlations in Multivariate GARCH models. The measures of contagion effects following the valuation of countries induced by the massive negative sovereign rating signals during the crisis period would also be interesting to study. The methods might also be applicable to this kind of contagion type and for contagions effects across European stock market returns.
Perspectives
The obtained results are useful for investors, in particular for their portfolio diversification strategies. They are also useful for the monetary and financial authorities in their efforts to absorb shocks resulting from crises.
Professor Mohamed Ali Trabelsi
Faculty of Economics and Management of Tunis, University of Tunis El Manar
Read the Original
This page is a summary of: A Dynamic Correlation Analysis of Financial Contagion: Evidence from the Eurozone Stock Markets, Entrepreneurial Business and Economics Review, January 2018, Uniwersytet Ekonomiczny w Krakowie - Krakow University of Economics,
DOI: 10.15678/eber.2018.060308.
You can read the full text:
Contributors
The following have contributed to this page
