Volume 3, Issue 3, June 2015, Page: 213-230
Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models
Samar Zlitni Abdelkefi, Faculty of Economics and Management of Sfax, Sfax, Tunisia
Walid Khoufi, School of High Business Studies of Sfax, Sfax, Tunisia
Received: Feb. 18, 2015;       Accepted: Apr. 22, 2015;       Published: May 6, 2015
DOI: 10.11648/j.ijefm.20150303.18      View  3904      Downloads  145
The purpose of this paper is to apply the Bivariate BEKK- GARCH (1, 1) and DCC- GARCH models in evaluating volatility spillovers and dynamic conditional correlation between stock indices. In this paper, the causal relation between stock markets (Nasdaq and each of these indices: Cac 40, Dax 30, Ftse 100, Global Dow Hangseng, Nikkei 225, Russell 2000, Shanghai, S&P 500 and Stoxx 600) is examined through applying Granger Causality test. The sample period started from January, 5th 2001 to September, 17th 2014. The whole sample period was divided into three sub-periods: Pre-crisis, global financial crisis and Post-crisis. Overall results proved unilateral and bilateral relationship between the variables. DCC model’s coefficients prove significant interdependence for all indices except Hangseng, Shanghai and S&P500.
Stock Markets, USA, Asia, Europe, Volatility Spillovers, Granger Causality Test, Impulse Responses, Bivariate BEKK GARCH (1, 1), DCC Models
To cite this article
Samar Zlitni Abdelkefi, Walid Khoufi, Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models, International Journal of Economics, Finance and Management Sciences. Vol. 3, No. 3, 2015, pp. 213-230. doi: 10.11648/j.ijefm.20150303.18
O. Ratanapakorn and C. Sharma Subhash, “Interrelationships among regional stock indices”, Review of Financial Economics (2), pp. 91-108, 2002.
H.Al-Zeaud and S. O. Alshbiel, “Multivariate Volatility and Spillover Effects in Financial Markets Case Study USA and Major European Stock Markets”. Interdisciplinary Journal of Contemporary Research Business, 4(6), 901 – 911, 2012.
L. Baele, “Volatility Spillover Effects in European Equity Markets,” Journal of Financial and Quantitative Analysis 40, 373-401, 2005.
W.J. Granger, B.N. Huang and C.W. Yang, “Stock prices and Exchange Rates: Evidence from Recent Asia Flu”. Department of Economics, UCSD, 1998.
R. Bhar and B. Nikolova. “Return, Volatility Spillovers and Dynamic Correlation in the BRIC Equity Markets: An Analysis Using a Bivariate EGARCH Framework”. Global Finance Journal, 9(3), 203 – 218, 2009.
N. Bodkhe, B. Kamaiah andP. Sakthivel, “Correlation and Volatility Transmission across International Stock Markets: A Bivariate GARCH Analysis”. International Journal of Economics & Finance, 4(3), 253 – 264, 2012.
C. Chang, M. McAleer and R. Tansuchat, “Conditional Correlations And Volatility Spillovers Between Crude Oil And Stock Index Returns.” North American Journal of Economics and Finance, 2012.
KJ. Forbes, and R. Rigobon, “No contagion, only interdependence: Measuring stock market comovements”. Journal of Finance, 57, 2223–2261, 2002.
M. Pan, K. Chan and D. Wright, “Divergent expectations and Asian financial crisis of 1997”,Journal of Financial Research, Vol 24, pp. 219–238, 2001.
S. A. Tuluca, and B. Zwick, “The effects of the Asian crisis on global equitymarkets”,The Financial Review, Vol 36, pp. 125–141, 2001.
B.Gebka, and D. Serwa, “Intraand inter-regional spillovers between emerging capital markets around the world”. Research in International Business and Finance, 21(2), 203–221, 2007.
J. Chen, C. Huang and al, “Information Effects During the U.S. Subprime Crisis: Evidence from the Asia-Pacific Region”, Journal of Emerging Markets Finance & Trade, Vol 1, pp. 75-87, 2010.
A. Ng, “Volatility spillover effects from Japan and the US to the Pacific-Basin”. Journal of International Money and Finance, Vol 2, pp. 207-233, 2000.
A. Worthington and H. Higgs, “Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis”. International Journal of Finance & Economics, Vol 1, pp. 71-80, 2004.
H. Li, “International linkages of the Chinese stock exchanges: a multivariate GARCH analysis”, Applied Financial Economics (4-6), 2007.
Y. Baba, R.F Engle, D. Kraft and K. Kroner, “Multivariate simultaneous generalized ARCH”, University of California, San Diego, 1990.
G. Corsetti, M. Pericoli and M. Sbracia, “Some Contagion, Some Interdependence: MorePitfalls in Tests of Financial Contagion”, Journal of International Money and Finance, Vol 24, pp.1177-1199, 2005.
T.C. Chiang, B.N. Jeon and H.Li, “Dynamic correlation analysis of financial contagion: Evidence from Asian markets”, Journal of International Money and Finance, pp. 1206-1228, 2007.
M.N. Syllignakis and G.P. Kouretas, “Dynamic Correlation Analysis of Financial Contagion: Evidence from the Central and Eastern European Markets”, International Review of Economics & Finance, pp. 717–732, 2011.
J.HCho and A.M Parhizgari,”East Asian Financial Contagion Under DCC GARCH”, The International Journal of Banking and Finance, Vol.6, pp. 17-30, 2008.
A. C. Johansson andC. Ljungwall, “Spillover effects among the greater China stock markets”. World Development, 37(4), 839-851, 2009.
K. Mukherjee and R. K. Mishra, “Stock Market Integration and Volatility Spillover: India and its Major Asian Counterparts”. Research in International Business and Finance, 24(2), 235-251, 2010.
P.Singh, B. Kumarand A. Pandey, “Price and volatility spillover across North American, European and Asian stock markets”. International Review of Financial Analysis, 19, 55-64, 2010.
A. Fernandez-Izquierdo and A. Lafuente Juan, “International transmission of stock exchange volatility: Empirical evidence from the Asian Crisis”, Global Finance Journal, pp. 125-137, 2004.
X. Zhang, F. Zhao and al, “Spillover effect between Shanghai, Shenzhen and Hong Kong stock market: A comparative analysis based on through train of Hong Kong stock”, 2009 International Conference on Management Science and Engineering.
G.M. Caporale, N.Pittis, and N. Spagnolo, “Volatility transmission and financial crises”. Journal of Economics and Finance 30 (3), 376-390, 2006.
Browse journals by subject