Testing for Financial Spillovers in Calm and Turmoil Periods

Type of content
Conference Contributions - Published
Publisher's DOI/URI
Thesis discipline
Degree name
Publisher
University of Canterbury. Department of Economics and Finance
Journal Title
Journal ISSN
Volume Title
Language
Date
2004
Authors
Bialkowski, J.
Bohl, M.T.
Serwa, D.
Abstract

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.

Description
Citation
Bialkowski 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.
Keywords
financial spillovers, Markov switching models, capital markets, financial crisis
Ngā upoko tukutuku/Māori subject headings
ANZSRC fields of research
Field of Research::14 - Economics::1402 - Applied Economics::140210 - International Economics and International Finance
Fields of Research::38 - Economics::3802 - Econometrics::380202 - Econometric and statistical methods
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