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- W3124920512 abstract "This paper empirically investigates the contagion effects of the global financial crisis in a multivariate Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) dynamic conditional correlation (DCC) framework during the period 1997-2012. We focus on five most important emerging equity markets, namely Brazil, Russia, India, China and South Africa (BRICS), as well as USA during different phases of the crisis. The length and the phases of the crisis are identified based on both an economic and a statistical approach. The empirical evidence does not confirm a contagion effect for most BRICS during the early stages of the crisis, indicating signs of isolation or decoupling. However, linkages reemerged (recoupled) after the Lehman Brothers collapse, suggesting a shift on investors’ risk appetite. Moreover, correlations among all BRICS and USA are increased from early 2009 onwards, implying that their dependence is larger in bullish than in bearish markets. These findings do not show a pattern of contagion for all BRICSs’ markets that could be attributed to their common trade and financial characteristics and provide important implications for international investors and policymakers." @default.
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- W3124920512 date "2013-05-28" @default.
- W3124920512 modified "2023-09-23" @default.
- W3124920512 title "Global Financial Crisis and Emerging Stock Market Contagion: A Multivariate FIAPARCH-DCC Approach" @default.
- W3124920512 hasPublicationYear "2013" @default.
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