Change search
ReferencesLink to record
Permanent link

Direct link
Determinants of Time Varying Co-movements among International Stock Markets during Crisis and Non-crisis periods
Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
Stockholm University, Faculty of Social Sciences, Stockholm Business School. (Finansiering)
2016 (English)In: Journal of Financial Stability, ISSN 1572-3089, E-ISSN 1878-0962, Vol. 24, 1-11 p.Article in journal (Refereed) Published
Abstract [en]

In this paper, we use the DCC MIDAS approach to assess the validity of the wake-up call hypothesis for developed and emerging markets during the global financial crisis (GFC). We use this approach to decompose the total correlations into short- (daily) and long-run (quarterly) correlations for the period from 1999 to 2011. We then examine the transmission mechanisms by regressing the quarterly economic, financial, and behavioral variables on the quarterly DCC–MIDAS correlations. We find that country specific factors are crisis contingent transmission mechanisms for the co-movements of emerging country pairs and mixed pairs of advanced and emerging countries during the global financial crisis. However, we do not observe wake-up calls in the transmission of the crisis among advanced country pairs. The classification of the transmission mechanisms for crisis and non-crisis periods with the different country pairs has important implications for crisis management as well as for portfolio investment strategies. Thus, our findings contribute to the discussion on the role and effectiveness of the international financial architecture.

Place, publisher, year, edition, pages
2016. Vol. 24, 1-11 p.
Keyword [en]
Stock market co-movement, Advanced and emerging markets, Crisis, Transmission mechanisms
National Category
Business Administration
URN: urn:nbn:se:su:diva-128333DOI: 10.1016/j.jfs.2016.03.003OAI: diva2:914139
Available from: 2016-03-23 Created: 2016-03-23 Last updated: 2016-10-24Bibliographically approved

Open Access in DiVA

fulltext(893 kB)12 downloads
File information
File name FULLTEXT01.pdfFile size 893 kBChecksum SHA-512
Type fulltextMimetype application/pdf

Other links

Publisher's full text

Search in DiVA

By author/editor
Mobarek, AsmaMollah, SaburHou, Ai Jun
By organisation
FinanceStockholm Business School
In the same journal
Journal of Financial Stability
Business Administration

Search outside of DiVA

GoogleGoogle Scholar
Total: 12 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Altmetric score

Total: 151 hits
ReferencesLink to record
Permanent link

Direct link