Can Bank be a Cause of Contagion during the Global Financial Crisis?
This paper examines whether the bank can be a cause of contagion during the global financial crisis. This paper utilizes a Dynamic Conditional Correlation Model to examine the financial contagion phenomenon following the recent financial crisis. This model, which is already developed by Engle (2002...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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EconJournals
2014-03-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://econjournals.com/index.php/ijefi/article/view/764 |
| _version_ | 1797907452352528384 |
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| author | Nadhem Selmi Nejib Hachicha |
| author_facet | Nadhem Selmi Nejib Hachicha |
| author_sort | Nadhem Selmi |
| collection | DOAJ |
| description |
This paper examines whether the bank can be a cause of contagion during the global financial crisis. This paper utilizes a Dynamic Conditional Correlation Model to examine the financial contagion phenomenon following the recent financial crisis. This model, which is already developed by Engle (2002) as a novel specification of multivariate models’ conditional correlations, allows tracking the correlation progress between two assets. Our sample consists of six developed countries, including the American market where the crisis started. Data frequencies are on a weekly basis reflecting between the period January 2006 and December 2011. Overall, the empirical evidence indicates that the past return shocks emanating from the banking sector have a significant impact not only on aggregate stock markets, but also on their prices, suggesting that bank can be a major source of contagion during the crisis.
Keywords: Global crisis; International financial contagion; Multivariate GARCH-DCC.
JEL Classifications: F3; G14; G21
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| first_indexed | 2024-04-10T10:36:55Z |
| format | Article |
| id | doaj.art-af077c906e634868b7c5da41d561225d |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T10:36:55Z |
| publishDate | 2014-03-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-af077c906e634868b7c5da41d561225d2023-02-15T16:20:49ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382014-03-0142Can Bank be a Cause of Contagion during the Global Financial Crisis?Nadhem SelmiNejib Hachicha This paper examines whether the bank can be a cause of contagion during the global financial crisis. This paper utilizes a Dynamic Conditional Correlation Model to examine the financial contagion phenomenon following the recent financial crisis. This model, which is already developed by Engle (2002) as a novel specification of multivariate models’ conditional correlations, allows tracking the correlation progress between two assets. Our sample consists of six developed countries, including the American market where the crisis started. Data frequencies are on a weekly basis reflecting between the period January 2006 and December 2011. Overall, the empirical evidence indicates that the past return shocks emanating from the banking sector have a significant impact not only on aggregate stock markets, but also on their prices, suggesting that bank can be a major source of contagion during the crisis. Keywords: Global crisis; International financial contagion; Multivariate GARCH-DCC. JEL Classifications: F3; G14; G21 https://econjournals.com/index.php/ijefi/article/view/764 |
| spellingShingle | Nadhem Selmi Nejib Hachicha Can Bank be a Cause of Contagion during the Global Financial Crisis? International Journal of Economics and Financial Issues |
| title | Can Bank be a Cause of Contagion during the Global Financial Crisis? |
| title_full | Can Bank be a Cause of Contagion during the Global Financial Crisis? |
| title_fullStr | Can Bank be a Cause of Contagion during the Global Financial Crisis? |
| title_full_unstemmed | Can Bank be a Cause of Contagion during the Global Financial Crisis? |
| title_short | Can Bank be a Cause of Contagion during the Global Financial Crisis? |
| title_sort | can bank be a cause of contagion during the global financial crisis |
| url | https://econjournals.com/index.php/ijefi/article/view/764 |
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