International Journal of Econometrics and Financial Management
ISSN (Print): 2374-2011 ISSN (Online): 2374-2038 Website: Editor-in-chief: Tarek Sadraoui
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International Journal of Econometrics and Financial Management. 2016, 4(2), 29-38
DOI: 10.12691/ijefm-4-2-1
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A New Cointegration Econometric Analysis for Contagious and Volatility Spillovers of Subprime Crisis Effects

Tarek Sadraoui1, , Bechir Deghachi2 and Rahma Ben Aissa2

1Department of Quantitative Methods, Faculty of economic sciences and Management of Mahdia

2Department of Quantitative Methods, Higher Institute of Society Administration

Pub. Date: April 22, 2016

Cite this paper:
Tarek Sadraoui, Bechir Deghachi and Rahma Ben Aissa. A New Cointegration Econometric Analysis for Contagious and Volatility Spillovers of Subprime Crisis Effects. International Journal of Econometrics and Financial Management. 2016; 4(2):29-38. doi: 10.12691/ijefm-4-2-1


We examine spillover effects of the recent U.S. financial crisis on five emerging Asian countries by estimating conditional correlations of financial asset returns across countries using multivariate GARCH models. We propose a novel approach that simultaneously estimates the conditional correlation coefficient and the effects of its determining factors over time, which can be used to identify the channels of spillovers. We find a dominant role of foreign investment for the conditional correlations in international equity markets. The dollar Libor OIS spread, the sovereign CDS premium, and foreign investment are found to be significant factors affecting foreign exchange markets.

subprime crisis contagion volatility of stock returns VAR

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