publication . Other literature type . Article . 2014

Did the contagion effect exist? Evidence from Abu Dhabi, Jordan and America

Liang-Chun Ho; Chia-Hsing Huang;
Open Access English
  • Published: 01 Jan 2014 Journal: Economic research - Ekonomska istraživanja, volume 27, issue 1 (issn: 1331-677X, eissn: 1848-9664, Copyright policy)
  • Publisher: Taylor and Francis Group and Juraj Dobrila University of Pula, Faculty of economics and tourism Dr. Mijo Mirković
Abstract
This article aims to test the contagion effect between the stock markets of Abu Dhabi, Jordan and America. The Lagrange multiplier (LM) principle for causality in variance test is used in this study. Four American stock indexes, Dow Jones Industrial Average, NASDAQ Composite, RUSSELL 2000, and PHLX Semiconductor Sector Index, are in this study. The testing results of the four major American stock price indexes and the Jordan stock index (Amman) are significant. The testing results of the four American stock price indexes and the Abu Dhabi stock index (ADX) are also significant. This study finds that the variances of returns of four major American stock price ind...
Subjects
free text keywords: contagion effect; the stock market; Abu Dhabi; Jordan; America, Stock price, Economics, Contagion effect, Economy, Variance test, Econometrics, Stock market index

Baig, T., & Goldfajn, I. (2001). The Russian default and the contagion to Brazil. International Financial Contagion (pp. 267-299). US: Springer.

Boschi, M., & Goenka, A. (2012). Relative risk aversion and the transmission of financial crises. Journal of Economic Dynamics & Control, 36, 85-99.

Celik, S. (2012). The more contagion effect on emerging markets: The evidence of DCC-GARCH model. Economic Modeling, 29, 1946-1959.

Dungey, M., Fry, R., González-Hermosillo, B., & Martin, V. L. (2005). Empirical modelling of contagion: A review of methodologies. Quantitative Finance, 5, 9-24.

Gonzalo, J. (1994). Five alternative methods of estimating long-run equilibrium relationships. Journal of Econometrics, 60, 203-233.

Hafner, C. M., & Herwartz, H. (2006). A Lagrange multiplier test for causality in variance. Economics Letters, 93, 137-141. [OpenAIRE]

Horta, P., Mendes, C., & Vieira, I. (2008). Contagion effects of the US subprime crisis on developed countries (Working Papers 2008-08). CEFAGE-UE. Portugal: University of Evora, CEFAGE-UE.

King, M., & Wadhwani, S. (1990). Transmission of volatility between stock markets. Review of Financial Studies, 3, 5-33. [OpenAIRE]

Li, G., Refalo, J. F., & Wu, L. (2008). Causality-in-variance and causality-in-mean among European government bond markets. Applied Financial Economics, 18, 1709-1720. [OpenAIRE]

Longstaff, F. A. (2010). The subprime credit crisis and contagion in financial markets. Journal of Financial Economics, 97, 436-450. [OpenAIRE]

MacKinnon, J., Haug, A., & Michelis, L. (1999). Numerical distributions of likelihood ratio tests of cointegration. Journal of Applied Econometrics, 14, 563-577.

Markwat, T., Kole, E., & Van Dijk, D. (2009). Contagion as a domino effect in global stock markets. Journal of Banking & Finance, 33, 1996-2012.

Sims, C. (1988). Bayesian skepticism on unit root econometrics. Journal of Economic Dynamics and Control, 12, 463-474.

Van Dijk, D., Osborn, D. R., & Sensier, M. (2005). Testing for causality in variance in the presence of breaks. Economics Letters, 89, 193-199.

Powered by OpenAIRE Open Research Graph
Any information missing or wrong?Report an Issue
publication . Other literature type . Article . 2014

Did the contagion effect exist? Evidence from Abu Dhabi, Jordan and America

Liang-Chun Ho; Chia-Hsing Huang;