Determinants of stock market comovements among US and emerging economies during the US financial crisis

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By analyzing the dynamic conditional correlations (DCC) of the daily stock returns of 10 emerging economies in comparison with those of the US for the period of 2006-2010, we find different patterns of crisis spillover among 10 emerging economies. While a group of countries has three distinctive phases of crisis spillover (contagion, herding, and post-crisis adjustment), other groups show different phases of crisis spillover. It is also shown that increases in CDS spread and TED spread decrease conditional correlations while increases in foreign institutional investment, exchange market volatility, and the VIX index of the SP 500 increase conditional correlations. (C) 2013 Elsevier B.V. All rights reserved.
Publisher
ELSEVIER SCIENCE BV
Issue Date
2013-09
Language
English
Article Type
Article
Keywords

BOND RETURN COMOVEMENTS; CONTAGION; VOLATILITY; MODELS; INTERDEPENDENCE; TRANSMISSION; TESTS

Citation

ECONOMIC MODELLING, v.35, pp.338 - 348

ISSN
0264-9993
DOI
10.1016/j.econmod.2013.07.021
URI
http://hdl.handle.net/10203/187130
Appears in Collection
RIMS Journal Papers
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