Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models
International Journal of Economics, Finance and Management Sciences
Volume 3, Issue 3, June 2015, Pages: 213-230
Received: Feb. 18, 2015; Accepted: Apr. 22, 2015; Published: May 6, 2015
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Samar Zlitni Abdelkefi, Faculty of Economics and Management of Sfax, Sfax, Tunisia
Walid Khoufi, School of High Business Studies of Sfax, Sfax, Tunisia
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The purpose of this paper is to apply the Bivariate BEKK- GARCH (1, 1) and DCC- GARCH models in evaluating volatility spillovers and dynamic conditional correlation between stock indices. In this paper, the causal relation between stock markets (Nasdaq and each of these indices: Cac 40, Dax 30, Ftse 100, Global Dow Hangseng, Nikkei 225, Russell 2000, Shanghai, S&P 500 and Stoxx 600) is examined through applying Granger Causality test. The sample period started from January, 5th 2001 to September, 17th 2014. The whole sample period was divided into three sub-periods: Pre-crisis, global financial crisis and Post-crisis. Overall results proved unilateral and bilateral relationship between the variables. DCC model’s coefficients prove significant interdependence for all indices except Hangseng, Shanghai and S&P500.
Stock Markets, USA, Asia, Europe, Volatility Spillovers, Granger Causality Test, Impulse Responses, Bivariate BEKK GARCH (1, 1), DCC Models
To cite this article
Samar Zlitni Abdelkefi, Walid Khoufi, Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models, International Journal of Economics, Finance and Management Sciences. Vol. 3, No. 3, 2015, pp. 213-230. doi: 10.11648/j.ijefm.20150303.18
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