Contagion between markets during financial crises
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 us...
| Autores: | , , |
|---|---|
| Tipo de recurso: | artículo |
| Fecha de publicación: | 2010 |
| País: | España |
| Institución: | Universitat Autònoma de Barcelona |
| Repositorio: | Dipòsit Digital de Documents de la UAB |
| Idioma: | inglés |
| OAI Identifier: | oai:ddd.uab.cat:310606 |
| Acceso en línea: | https://ddd.uab.cat/record/310606 https://dx.doi.org/urn:doi:10.2139/ssrn.1654262 |
| Access Level: | acceso abierto |
| Palabra clave: | Contagion Multivariate Volatility Time Series Factor Analysis and Dynamic Conditional Correlation |
| Sumario: | 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. |
|---|