The contagion of financial crises surrounding the markets around the world has been in the forefront of academic and public discussions. In this paper, we attempt to study the “contagion effect” of the stock market ...The contagion of financial crises surrounding the markets around the world has been in the forefront of academic and public discussions. In this paper, we attempt to study the “contagion effect” of the stock market crises around the world by studying the correlations of global stock returns and volatility. We analyze the daily returns of major stock indexes around the world to discover the timing and path of the transmission of shocks that manifest themselves in stock market returns. We construct VARs of major stock market index returns and volatilities. Our work differs from the literature in analyzing spillover effects between emerging markets and other major stock markets.展开更多
文摘The contagion of financial crises surrounding the markets around the world has been in the forefront of academic and public discussions. In this paper, we attempt to study the “contagion effect” of the stock market crises around the world by studying the correlations of global stock returns and volatility. We analyze the daily returns of major stock indexes around the world to discover the timing and path of the transmission of shocks that manifest themselves in stock market returns. We construct VARs of major stock market index returns and volatilities. Our work differs from the literature in analyzing spillover effects between emerging markets and other major stock markets.
