eng Science and Education Publishing International Journal of Econometrics and Financial Management 2374-2038 2016-04-22 4 2 29 38 10.12691/ijefm-4-2-1 IJEFM2016421 article Tarek Sadraoui tarek_sadraoui@yahoo.fr, Tarek.Sadraoui@fsegs.rnu.tn 1 Bechir Deghachi 2 Rahma Ben Aissa 2 Department of Quantitative Methods, Faculty of economic sciences and Management of Mahdia Department of Quantitative Methods, Higher Institute of Society Administration 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. http://pubs.sciepub.com/ijefm/4/2/1/ijefm-4-2-1.pdf subprime crisis contagion volatility of stock returns VAR