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Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models

Received: 18 February 2015     Accepted: 22 April 2015     Published: 6 May 2015
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Abstract

The purpose of this paper is to apply the Bivariate BEKK- GARCH (1, 1) and DCC- GARCH models in evaluating volatility spillovers and dynamic conditional correlation between stock indices. In this paper, the causal relation between stock markets (Nasdaq and each of these indices: Cac 40, Dax 30, Ftse 100, Global Dow Hangseng, Nikkei 225, Russell 2000, Shanghai, S&P 500 and Stoxx 600) is examined through applying Granger Causality test. The sample period started from January, 5th 2001 to September, 17th 2014. The whole sample period was divided into three sub-periods: Pre-crisis, global financial crisis and Post-crisis. Overall results proved unilateral and bilateral relationship between the variables. DCC model’s coefficients prove significant interdependence for all indices except Hangseng, Shanghai and S&P500.

Published in International Journal of Economics, Finance and Management Sciences (Volume 3, Issue 3)
DOI 10.11648/j.ijefm.20150303.18
Page(s) 213-230
Creative Commons

This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.

Copyright

Copyright © The Author(s), 2015. Published by Science Publishing Group

Keywords

Stock Markets, USA, Asia, Europe, Volatility Spillovers, Granger Causality Test, Impulse Responses, Bivariate BEKK GARCH (1, 1), DCC Models

References
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Cite This Article
  • APA Style

    Samar Zlitni Abdelkefi, Walid Khoufi. (2015). Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models. International Journal of Economics, Finance and Management Sciences, 3(3), 213-230. https://doi.org/10.11648/j.ijefm.20150303.18

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    ACS Style

    Samar Zlitni Abdelkefi; Walid Khoufi. Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models. Int. J. Econ. Finance Manag. Sci. 2015, 3(3), 213-230. doi: 10.11648/j.ijefm.20150303.18

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    AMA Style

    Samar Zlitni Abdelkefi, Walid Khoufi. Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models. Int J Econ Finance Manag Sci. 2015;3(3):213-230. doi: 10.11648/j.ijefm.20150303.18

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  • @article{10.11648/j.ijefm.20150303.18,
      author = {Samar Zlitni Abdelkefi and Walid Khoufi},
      title = {Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models},
      journal = {International Journal of Economics, Finance and Management Sciences},
      volume = {3},
      number = {3},
      pages = {213-230},
      doi = {10.11648/j.ijefm.20150303.18},
      url = {https://doi.org/10.11648/j.ijefm.20150303.18},
      eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijefm.20150303.18},
      abstract = {The purpose of this paper is to apply the Bivariate BEKK- GARCH (1, 1) and DCC- GARCH models in evaluating volatility spillovers and dynamic conditional correlation between stock indices. In this paper, the causal relation between stock markets (Nasdaq and each of these indices: Cac 40, Dax 30, Ftse 100, Global Dow Hangseng, Nikkei 225, Russell 2000, Shanghai, S&P 500 and Stoxx 600) is examined through applying Granger Causality test. The sample period started from January, 5th 2001 to September, 17th 2014. The whole sample period was divided into three sub-periods: Pre-crisis, global financial crisis and Post-crisis. Overall results proved unilateral and bilateral relationship between the variables. DCC model’s coefficients prove significant interdependence for all indices except Hangseng, Shanghai and S&P500.},
     year = {2015}
    }
    

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    T1  - Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models
    AU  - Samar Zlitni Abdelkefi
    AU  - Walid Khoufi
    Y1  - 2015/05/06
    PY  - 2015
    N1  - https://doi.org/10.11648/j.ijefm.20150303.18
    DO  - 10.11648/j.ijefm.20150303.18
    T2  - International Journal of Economics, Finance and Management Sciences
    JF  - International Journal of Economics, Finance and Management Sciences
    JO  - International Journal of Economics, Finance and Management Sciences
    SP  - 213
    EP  - 230
    PB  - Science Publishing Group
    SN  - 2326-9561
    UR  - https://doi.org/10.11648/j.ijefm.20150303.18
    AB  - The purpose of this paper is to apply the Bivariate BEKK- GARCH (1, 1) and DCC- GARCH models in evaluating volatility spillovers and dynamic conditional correlation between stock indices. In this paper, the causal relation between stock markets (Nasdaq and each of these indices: Cac 40, Dax 30, Ftse 100, Global Dow Hangseng, Nikkei 225, Russell 2000, Shanghai, S&P 500 and Stoxx 600) is examined through applying Granger Causality test. The sample period started from January, 5th 2001 to September, 17th 2014. The whole sample period was divided into three sub-periods: Pre-crisis, global financial crisis and Post-crisis. Overall results proved unilateral and bilateral relationship between the variables. DCC model’s coefficients prove significant interdependence for all indices except Hangseng, Shanghai and S&P500.
    VL  - 3
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    ER  - 

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Author Information
  • Faculty of Economics and Management of Sfax, Sfax, Tunisia

  • School of High Business Studies of Sfax, Sfax, Tunisia

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