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  • Thumbnail for The Global Financial Crisis and Contagion Effects in East Asia: A DCC-GARCH Approach
    The Global Financial Crisis and Contagion Effects in East Asia: A DCC-GARCH Approach by Hoffman, Riley

    This paper investigates potential contagion effects from the United States to the East Asian economies of Japan, South Korea, and Hong Kong during the Global Financial Crisis (2007-2009). Time-varying correlations are estimated for weekly stock market index returns from 2000 to 2017 using a dynamic conditional correlation, generalized autoregressive conditional heteroskedasticity (DCC-GARCH) model. Contagion effects are tested by splitting the sample period into three sub-periods: pre-crisis, crisis, and post-crisis, and then using mean difference and median difference tests to check for any significant changes in correlation between sub-periods. The results show evidence of contagion from the United States for all three East Asian economies during the Global Financial Crisis, as well as an increase in market interdependence since the crisis.