Behavioral Finance and Financial Contagion: The Evidence of DCC-MGARCH Model From 63 Equity Markets
The paper aims to test the existence of financial contagion between foreign stock markets of several emerging and developed countries during the U.S subprime crisis. It empirically attests for contagion through a DCC MGARCH (1.1) and an adjusted correlation test over 63 emerging and developing stoc...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2017-08-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://econjournals.com/index.php/ijefi/article/view/5252 |