On the study of contagion in the context of the subprime crisis: A dynamic conditional correlation–multivariate GARCH approach

Systemic risk contagion in FX market: A frequency connectedness and network analysis

“…Lin (2012) employs the ARDL model to capture co-movements between Asian foreign exchange and stock markets and detects strengthen co-movements during financial crises. Strong co-movements between financial markets in the midst of financial crises are also detected by other studies (Arestis, 2005;Aloui, Aïssa, & Nguyen, 2011;Chang & Cheng, 2016;Guo, Chen, & Huang, 2011;Hemche, Jawadi, Maliki, & Cheffou, 2016;Shen, Li, Wang, & Su, 2015;Straetmans & Chaudhry, 2015).…”

“…The dynamic nature of contagion has been the focus of the recent literature with the application of different econometric methodologies. Among them, researchers employ methodologies such as multivariate GARCH (Gardini and De Angelis, 2002;Arestis, Maria Caporale, Cipollini, & Spagnolo, 2005;Celik, 2012;Chiang, Jeon, & Li, 2007;Hemche et al, 2016;Moussa, 2014;Phylaktis & Xia, 2009), regime switching models (Guo et al, 2011;Kenourgios, Samitas, & Paltalidis, 2011;Dimitrou and Kenourgios, 2013), copulas (Aloui, Aïssa, and Nguyen, 2012), logit-probit models (Dungey & Gajurel, 2015;Luchtenberg & Vu, 2015) and VAR models (Ahlgren & Antell, 2010;Favero & Giavazzi, 2002;Guo et al, 2011;Longstaff, 2010;Rigobon, 2003;Samarakoon, 2011).…”

Did the S.A.R.S. epidemic weaken the integration of Asian stock markets? Evidence from smooth time-varying cointegration analysis

“…In this paper we show that financial integration did attenuate during the S.A.R.S. epidemic in contrast to the possible influence of economic crises on stock market integration (Hemche et al, 2016;Narayan et al, 2014). In addition, Lence and Falk (2005, p. 889) mention that the issue of whether asset prices are cointegrated or not rests on the characteristics of preferences and endowment processes, not on market integration and /or market efficiency.…”

“…For example, Yu, Fung, and Tam (2010) show that the equity market integration process of A.S.E.A.N.+3 (Association of Southeast Asian Nations) countries picked up in 2007-2008, while Wang (2014 identifies that the global financial crisis has strengthened the linkages among stock markets in East Asia, signifying that time-varying long-run relationships exist among these countries. Hemche, Jawadi, Maliki, and Cheffou (2016) find a substantial increase in dynamic correlations following the recent subprime crisis for most markets under consideration with regard to the U.S. market. Narayan, Sriananthakumar, and Islam (2014) also present that relations between Asian and U.S. markets were strongest during the global financial crisis, while Frijns et al (2012) show that political crises generally reduced the level of stock market integration in 19 emerging countries from the South and East Asia, Latin American, and Central and Eastern Europe regions.…”

How Has the Behavior of Cross‐Market Correlations Altered During Financial and Debt Crises?

“…However, Indonesia and South Korea seem to be immune, displaying only interdependence. Analyzing contagion effects in the context of subprime crisis, Hemche et al (2016) provide evidence that Mexico, France, the UK and Italy display a significant correlation increase with the US during the crisis period hence contagion effects while the increase in correlations of Japan, China, Tunisia, Morocco and Egypt with the US is not statistically significant. Karanasos et al (2014) conduct dummy variable analysis and the t-tests to the correlations derived from the DCC model.…”