Financial Contagion of Global Financial on selected emerging countries’ stock market

Abstract

This paper investigates the possible contagion effects from the US stock market to 15 selected emerging stock markets of 2008 financial global crisis (GFC). In order to capture further time-variation and dynamic linkages between stock markets, the multivariate DCC-GARCH model (Engle, 2002) was applied to the daily stock returns from 2000 through 2016. To compare and analysis the change of DCC, the sample is divided into sub-samples according to the crisis period. The main finding is that except China and Indonesia, there are statistically significant increases in dynamic conditional correlations between U.S equity market and selected emerging countries stock markets, during the crisis and after crisis period than pre-crisis period. That result evidenced that contagion effect of GFC, in addition herding phenomenon of the global financial crisis.