Does Shift Contagion Exist Between OECD Stock Markets During The Financial Crisis?

Abstract

This study tests whether contagion effects exist, during the financial crisis between the U.S stock market and the OECD ones. We define shift-contagion as a significant increase in correlations in stock returns after a shock. The identification of the break point, the financial crisis, is made by the structural break test of Bai-Perron (2003). Then, time-varying correlation coefficients are estimated by the Dynamic Conditional Correlation (DCC) Multivariate GARCH Model. In order to recognize the contagion effects, we test whether the mean of the DCC coefficients in post-crisis period differs from that in the pre-crisis stable period. Empirical findings show that the OECD stock markets have displayed a significant increase in the means of correlation coefficients between the pre-crisis and post-crisis periods. This proves the existence of contagion between the U.S and the studied markets.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 22 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.