Spillover effects of the 2008 financial crisis on NIE stock markets |
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Authors: | Jae-Kwang Hwang Alex Ogwu |
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Institution: | 1. Department of Accounting &2. Finance, Virginia State University, Petersburg, VA 23806, USA;3. Department of Business &4. Economics, Elizabeth City State University, Elizabeth City, NC 27909, USA |
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Abstract: | This article estimates dynamic conditional correlations of stock returns across countries by using DCC–GARCH model and analyse spillover effects of the 2008 financial crisis on the NIE’s stock markets. The results show that there is no regime shift in mean equation of the correlation coefficient during the financial crisis. It may imply there are no mean spillover effects of the US financial crisis on the NIE’s stock markets. However, there are volatility spillover effects of the financial crisis sparked in 2008 from the US to the NIE’s markets. |
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Keywords: | Contagion spillover effects DCC–GARCH the 2008 financial crisis |
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