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AuthorZouhair, Mrabet
AuthorLanouar, Charfeddine
AuthorAjmi, Ahdi Noomen
Available date2022-12-27T08:14:13Z
Publication Date2014
Publication NameEmerging Markets and the Global Economy: A Handbook
ResourceScopus
URIhttp://dx.doi.org/10.1016/B978-0-12-411549-1.00023-5
URIhttp://hdl.handle.net/10576/37624
AbstractThis chapter contributes to the empirical finance literature on modeling co-movement in financial markets by considering the case of the BRIC countries during the subprime crises. To overcome the problem of the time-varying behavior of stock market volatility when calculating the adjusted correlation coefficients, we propose the SWARCH—Adjusted correlation approach that combines the univariate ARCH regime-switching model (SWARCH) of Hamilton and Susmel (1994) and the adjusted correlation approach of Forbes and Rigobón (2002). The empirical results reveal the presence of high interdependence between the US and BRIC countries, mainly in high volatility periods. Moreover, empirical investigation shows the presence of a contagion phenomenon running from the US to Brazil.
Languageen
PublisherElsevier
SubjectBRIC countries
C58
Co-movement
F30
G15
Stock return volatility
Subprime crises
SWARCH model
TitleContagion versus Interdependence: The Case of the BRIC Countries During the Subprime Crises
TypeBook chapter
Pagination555-582
dc.accessType Abstract Only


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