Next Article in Journal
Default Risk and Cross Section of Returns
Next Article in Special Issue
Do Global Value Chains Make Firms More Vulnerable to Trade Shocks?—Evidence from Manufacturing Firms in Sweden
Previous Article in Journal
Is Bitcoin a Relevant Predictor of Standard & Poor’s 500?
Previous Article in Special Issue
Equalizing Seasonal Time Series Using Artificial Neural Networks in Predicting the Euro–Yuan Exchange Rate
Open AccessArticle

Equity Market Contagion in Return Volatility during Euro Zone and Global Financial Crises: Evidence from FIMACH Model

Department of Industrial Economics, Blekinge Institute of Technology, SE-371 79 Karlskrona, Sweden
*
Authors to whom correspondence should be addressed.
J. Risk Financial Manag. 2019, 12(2), 94; https://doi.org/10.3390/jrfm12020094
Received: 7 May 2019 / Revised: 28 May 2019 / Accepted: 4 June 2019 / Published: 6 June 2019
(This article belongs to the Special Issue Analysis of Global Financial Markets)
The current paper studies equity markets for the contagion of squared index returns as a proxy for stock market volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including the US, UK, Euro Zone and BRICS (Brazil, Russia, India, China and South Africa) countries, as a proxy for the measurement of volatility. Results from the conditional heteroskedasticity long memory model show the evidence of long memory in the squared stock returns of all 35 stock indices studied. Empirical findings show the evidence of contagion during the global financial crisis (GFC) and Euro Zone crisis (EZC). The intensity of contagion varies depending on its sources. This implies that the effects of shocks are not symmetric and may have led to some structural changes. The effect of contagion is also studied by decomposing the level series into explained and unexplained behaviors. View Full-Text
Keywords: contagion; financial markets; global financial crisis; Euro zone crisis; long memory contagion; financial markets; global financial crisis; Euro zone crisis; long memory
MDPI and ACS Style

Quoreshi, A.M.M.S.; Uddin, R.; Jienwatcharamongkhol, V. Equity Market Contagion in Return Volatility during Euro Zone and Global Financial Crises: Evidence from FIMACH Model. J. Risk Financial Manag. 2019, 12, 94.

Show more citation formats Show less citations formats
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map

1
Back to TopTop