An Empirical Analysis of the Contagion Risk in the Stock Markets: Evidence with E-GARCH VaR Model

This paper examines contagion risk among both current Eurozone Crisis and Asian Crisis in 1997 with daily stock prices during the crisis periods. Three types of financial markets are included to check the risk spillover, which are developed countries (G7 group), emerging countries (BRICs countries)...

Full description

Bibliographic Details
Main Author:	Gao, Song
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2014
Online Access:	http://eprints.nottingham.ac.uk/27157/ http://eprints.nottingham.ac.uk/27157/1/SONG_GAO-4202651.pdf

id	nottingham-27157
recordtype	eprints
spelling	nottingham-271572017-10-13T21:00:49Z http://eprints.nottingham.ac.uk/27157/ An Empirical Analysis of the Contagion Risk in the Stock Markets: Evidence with E-GARCH VaR Model Gao, Song This paper examines contagion risk among both current Eurozone Crisis and Asian Crisis in 1997 with daily stock prices during the crisis periods. Three types of financial markets are included to check the risk spillover, which are developed countries (G7 group), emerging countries (BRICs countries) and benchmark countries (Spain, Portugal, Greece and Ireland for Eurozone Crisis, while Indonesia, South Korea and Thailand for Asian Crisis). E-GARCH (1, 1) VaR model with Generalized Error Distribution (GED) is applied for each stock index for evaluating the volatility. Also, Granger Causality test is used to check whether there exists risk spillover. It is found that there is statistically significant evidence of contagion effect contagion risk among both current Eurozone Crisis and Asian Crisis. 2014 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en http://eprints.nottingham.ac.uk/27157/1/SONG_GAO-4202651.pdf Gao, Song (2014) An Empirical Analysis of the Contagion Risk in the Stock Markets: Evidence with E-GARCH VaR Model. [Dissertation (University of Nottingham only)] (Unpublished)
repository_type	Digital Repository
institution_category	Local University
institution	University of Nottingham Malaysia Campus
building	Nottingham Research Data Repository
collection	Online Access
language	English
description	This paper examines contagion risk among both current Eurozone Crisis and Asian Crisis in 1997 with daily stock prices during the crisis periods. Three types of financial markets are included to check the risk spillover, which are developed countries (G7 group), emerging countries (BRICs countries) and benchmark countries (Spain, Portugal, Greece and Ireland for Eurozone Crisis, while Indonesia, South Korea and Thailand for Asian Crisis). E-GARCH (1, 1) VaR model with Generalized Error Distribution (GED) is applied for each stock index for evaluating the volatility. Also, Granger Causality test is used to check whether there exists risk spillover. It is found that there is statistically significant evidence of contagion effect contagion risk among both current Eurozone Crisis and Asian Crisis.
format	Dissertation (University of Nottingham only)
author	Gao, Song
spellingShingle	Gao, Song An Empirical Analysis of the Contagion Risk in the Stock Markets: Evidence with E-GARCH VaR Model
author_facet	Gao, Song
author_sort	Gao, Song
title	An Empirical Analysis of the Contagion Risk in the Stock Markets: Evidence with E-GARCH VaR Model
title_short	An Empirical Analysis of the Contagion Risk in the Stock Markets: Evidence with E-GARCH VaR Model
title_full	An Empirical Analysis of the Contagion Risk in the Stock Markets: Evidence with E-GARCH VaR Model
title_fullStr	An Empirical Analysis of the Contagion Risk in the Stock Markets: Evidence with E-GARCH VaR Model
title_full_unstemmed	An Empirical Analysis of the Contagion Risk in the Stock Markets: Evidence with E-GARCH VaR Model
title_sort	empirical analysis of the contagion risk in the stock markets: evidence with e-garch var model
publishDate	2014
url	http://eprints.nottingham.ac.uk/27157/ http://eprints.nottingham.ac.uk/27157/1/SONG_GAO-4202651.pdf
first_indexed	2018-09-06T11:42:31Z
last_indexed	2018-09-06T11:42:31Z
_version_	1610858262212640768

An Empirical Analysis of the Contagion Risk in the Stock Markets: Evidence with E-GARCH VaR Model

Similar Items