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

Other literature type English OPEN
Ho, Liang-Chun; Huang, Chia-Hsing;
(2014)
  • Publisher: Taylor and Francis Group and Juraj Dobrila University of Pula, Faculty of economics and tourism Dr. Mijo Mirković
  • Journal: Economic research - Ekonomska istraživanja, volume 27, issue 1 (issn: 1331-677X, eissn: 1848-9664)
  • Publisher copyright policies & self-archiving
  • Subject: contagion effect; the stock market; Abu Dhabi; Jordan; America

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 Comp... View more
  • References (14)
    14 references, page 1 of 2

    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.

    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.

    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.

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

  • Metrics
Share - Bookmark