Testing for Financial Spillovers in Calm and Turmoil Periods

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dc.contributor.authorBialkowski, J.
dc.contributor.authorBohl, M.T.
dc.contributor.authorSerwa, D.
dc.date.accessioned2010-09-23T02:06:19Z
dc.date.available2010-09-23T02:06:19Z
dc.date.issued2004en
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. (2004) Testing for Financial Spillovers in Calm and Turmoil Periods. Basel, Switzerland: European Financial Management Association Conference 2004, June 30-July 3, 2004.en
dc.identifier.urihttp://hdl.handle.net/10092/4529
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.anzsrcField of Research::14 - Economics::1402 - Applied Economics::140210 - International Economics and International Financeen
dc.subject.anzsrcFields of Research::38 - Economics::3802 - Econometrics::380202 - Econometric and statistical methodsen
dc.titleTesting for Financial Spillovers in Calm and Turmoil Periodsen
dc.typeConference Contributions - Published
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