Volatility transmission and financial crises

被引：25

作者：

Caporale G.M. ^{[1
]}

Pittis N. ^{[1
]}

Spagnolo N. ^{[1
]}

机构：

[1] Brunel Business School, Brunel University, Uxbridge

来源：

Journal of Economics and Finance | 2006年 / 30卷 / 3期

关键词：

Stock Market; Stock Return; Granger Causality; Conditional Variance; Stock Market Return;

D O I：

10.1007/BF02752742

中图分类号：

学科分类号：

摘要：

In this paper we examine the international transmission of the 1997 South East Asia financial crisis. We estimate a bivariate GARCH-BEKK model and carry out LR tests for causality-invariance with bootstrapped critical values. Three pairwise models are estimated for US, European, Japanese and South East Asian daily stock market returns. Volatility spillovers are found in all cases. The dynamics of the conditional volatilities differ, but causality links in the variance are found to be strong and bidirectional in normal periods, and unidirectional (from the markets in turmoil to the others) following the onset of the crisis, consistently with crisis-contingent models. (JEL C32, G15).

引用

页码：376 / 390

页数：14

共 35 条

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