ManuScript Details
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Paper Id:
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IJARW1529
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Title:
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THE GLOBAL FINANCIAL CRISIS : TESTING FOR CONTAGION BETWEEN US MARKET AND OTHERS MARKETS
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| Published in: |
International Journal Of All Research Writings |
| Publisher: |
IJARW |
| ISSN: |
2582-1008 |
| Volume / Issue: |
Volume 3 Issue 3 |
| Pages: |
13
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| Published On: |
9/30/2021 11:41:50 PM (MM/dd/yyyy) |
Main Author Details
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Name:
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RAKOTOZAFY Rivo John Ronald |
| Institute: |
University of Antananarivo |
Co - Author Details
| Author Name |
Author Institute |
| Jean Lucien RAZAFINDRAKOTO |
University of Antananarivo |
Abstract
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Research Area:
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Economics |
| KeyWord: |
Subprime crisis, contagion, multivariate GARCH model, adjusted correlation |
| Abstract: |
This paper studies the contagion effect of the Subprime Crisis on the financial markets of other developed and emerging countries. We then propose a set of models that will allow us to identify a possible contagion: the GARCH BEKK model is used to assess the transmission of shocks, volatilities between markets, the GARCH DCC will allow us to see the persistence of these volatilities, and the adjusted correlation will allow us to confirm the existence of a contagion. Our estimation considers an observation period that is subdivided into two sub-periods in order to better capture the effect of the crisis: a quiet period and a crisis period. Our results show that the financial shocks generated by the subprime crisis spread across the world and within a very short period of time, which clearly shows the existence of financial contagion during this crisis period |
Citations
Copy and paste a formatted citation or use one of the links to import into a bibliography manager and reference.
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IEEE
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RAKOTOZAFY Rivo John Ronald, Jean Lucien RAZAFINDRAKOTO, "THE GLOBAL FINANCIAL CRISIS : TESTING FOR CONTAGION BETWEEN US MARKET AND OTHERS MARKETS", International Journal Of All Research Writings,
vol. 3, no. 3, pp. 38-50, 2021.
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MLA
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RAKOTOZAFY Rivo John Ronald, Jean Lucien RAZAFINDRAKOTO "THE GLOBAL FINANCIAL CRISIS : TESTING FOR CONTAGION BETWEEN US MARKET AND OTHERS MARKETS." International Journal Of All Research Writings,
vol 3, no. 3, 2021, pp. 38-50.
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APA
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RAKOTOZAFY Rivo John Ronald, Jean Lucien RAZAFINDRAKOTO (2021). THE GLOBAL FINANCIAL CRISIS : TESTING FOR CONTAGION BETWEEN US MARKET AND OTHERS MARKETS. International Journal Of All Research Writings,
3(3), 38-50.
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THE GLOBAL FINANCIAL CRISIS : TESTING FOR CONTAGION BETWEEN US MARKET AND OTHERS MARKETS
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THE GLOBAL FINANCIAL CRISIS : TESTING FOR CONTAGION BETWEEN US MARKET AND OTHERS MARKETS
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