Spillover effects of the 2008 financial crisis on NIE stock markets

ABSTRACT

This article estimates dynamic conditional correlations of stock returns across countries by using DCC–GARCH model and analyse spillover effects of the 2008 financial crisis on the NIE’s stock markets. The results show that there is no regime shift in mean equation of the correlation coefficient during the financial crisis. It may imply there are no mean spillover effects of the US financial crisis on the NIE’s stock markets. However, there are volatility spillover effects of the financial crisis sparked in 2008 from the US to the NIE’s markets.

KEYWORDS:

• Contagion
• spillover effects
• DCC–GARCH
• the 2008 financial crisis

JEL CLASSIFICATION:

• G15
• G19
• G10

Disclosure statement

No potential conflict of interest was reported by the authors.