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)...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
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2014
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| Online Access: | https://eprints.nottingham.ac.uk/27157/ |
| _version_ | 1848793317018435584 |
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| author | Gao, Song |
| author_facet | Gao, Song |
| author_sort | Gao, Song |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-14T18:58:22Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-27157 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:58:22Z |
| publishDate | 2014 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-271572022-03-21T16:11:43Z https://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 https://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) Contagion Risk; E-GARCH Modelling; Value-at-Risk (VaR); Backtesting; Granger Causality in Risk |
| spellingShingle | Contagion Risk; E-GARCH Modelling; Value-at-Risk (VaR); Backtesting; Granger Causality in Risk Gao, Song An Empirical Analysis of the Contagion Risk in the Stock Markets: Evidence with E-GARCH VaR Model |
| title | 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_short | 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 |
| topic | Contagion Risk; E-GARCH Modelling; Value-at-Risk (VaR); Backtesting; Granger Causality in Risk |
| url | https://eprints.nottingham.ac.uk/27157/ |