Science and Education Publishing International Journal of Econometrics and Financial Management 2374-2038 4 2 2016 4 22 A New Cointegration Econometric Analysis for Contagious and Volatility Spillovers of Subprime Crisis Effects 29 38 EN Tarek Sadraoui Department of Quantitative Methods, Faculty of economic sciences and Management of Mahdia Bechir Deghachi Rahma Ben Aissa IJEFM2016421 10.12691/ijefm-4-2-1 2016 1 16 2016 3 30 2016 4 20 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.