Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises

This research examines the time-varying conditional correlations to the daily stock index returns. We use a dynamic conditional correlation (DCC) multivariate GARCH model in order to capture potential contagion effects between US and major developed and emerging stock markets during the 2007-2010 ma...

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Bibliographic Details
Main Authors: Zouheir Mighri, Faysal Mansouri
Format: Article
Published: EconJournals 2013-09-01
Series:International Journal of Economics and Financial Issues
Online Access:https://dergipark.org.tr/tr/pub/ijefi/issue/31958/351943?publisher=http-www-cag-edu-tr-ilhan-ozturk