Testing for Financial Spillovers in Calm and Turmoil Periods (2004)
Type of ContentConference Contributions - Published
PublisherUniversity of Canterbury. Department of Economics and Finance
AuthorsBialkowski, J., Bohl, M.T., Serwa, D.show all
In this paper, we investigate financial spillovers between stock markets during calm and turbulent times. We explicitly define financial spillovers and financial contagion in accordance with the economic literature and construct statistical models corresponding to these definitions in a Markov switching framework. Applying the new testing methodology based on transition matrices, we find that spillovers from the US stock market to the UK, Japanese, and German markets are more frequent when the latter markets are in the crisis regime. However, we reject the hypothesis of strong financial contagion from the US market to the other markets.
CitationBialkowski J., Bohl M.T., Serwa D. (2004) Testing for Financial Spillovers in Calm and Turmoil Periods. Basel, Switzerland: European Financial Management Association Conference 2004, June 30-July 3, 2004.
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Keywordsfinancial spillovers; Markov switching models; capital markets; financial crisis
ANZSRC Fields of Research14 - Economics::1402 - Applied Economics::140210 - International Economics and International Finance
14 - Economics::1403 - Econometrics::140302 - Econometric and Statistical Methods