Testing for Financial Spillovers in Calm and Turmoil Periods

Simple item page
dc.contributor.authorBialkowski, J.
dc.contributor.authorBohl, M.T.
dc.contributor.authorSerwa, D.
dc.date.accessioned2010-09-21T00:39:29Z
dc.date.available2010-09-21T00:39:29Z
dc.date.issued2006en
dc.description.abstractIn 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.en
dc.identifier.citationBialkowski, J., Bohl, M.T., Serwa, D. (2006) Testing for Financial Spillovers in Calm and Turmoil Periods. Dunedin, New Zealand: 10th Annual New Zealand Finance Colloquium, 26-27 Jan 2006.en
dc.identifier.urihttp://hdl.handle.net/10092/4526
dc.language.isoen
dc.publisherUniversity of Canterbury. Department of Economics and Financeen
dc.rights.urihttps://hdl.handle.net/10092/17651en
dc.subjectfinancial spilloversen
dc.subjectMarkov switching modelsen
dc.subjectcapital marketsen
dc.subjectfinancial crisisen
dc.subject.anzsrcFields of Research::35 - Commerce, management, tourism and services::3502 - Banking, finance and investment::350208 - Investment and risk managementen
dc.subject.anzsrcFields of Research::35 - Commerce, management, tourism and services::3502 - Banking, finance and investment::350203 - Financial econometricsen
dc.titleTesting for Financial Spillovers in Calm and Turmoil Periodsen
dc.typeConference Contributions - Other
Files
Original bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
12624568_Bialkowski-Bohl-Serwa (Revised Version, July 26).pdf
Size:
344.8 KB
Format:
Adobe Portable Document Format
Download
Collections
Business: Conference Contributions