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Chocs, chocs de volatilité et contagion entre les marchés boursiers. Application d'un modèle icss-mgarch

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  • Kamel Malik Bensafta
  • Semedo Gervasio

Abstract

In this paper we study dynamic interdependence between stock exchange markets across indices returns especially during crisis periods. For this purpose, we analyze the behaviour of eleven stock exchange markets from Europe, North America and Asia during the period 1985-2007. We use a Vector Autoregressive Multivariate garch model with multiple regime in variance. Breakpoints in variance are given by Iterated Cumulative Sum of Squared algorithm corrected for heteroskedasticity. Our results on the transmission phenomena proof the significant mean and variance causality from us to all markets. Also, we find no evidence of shocks transmission from emerging markets towards to the developed markets one. Concerning the markets cross-correlation, the dynamic analysis enables us to check the asymmetrical pattern and its instability. Finally, the cross- correlation during crisis periods indicates a significant rise particularly for the American crash of 1987. There is a contagion from us market to all markets. However, contagion is not observed frequently for others crisis. At last but not the least, openness is not a tool to isolate markets from instability and contagion. Markets need regulation and supervision even they could be perfect.garchusus Classification JEL : F36 ; C32 ; G15

Suggested Citation

  • Kamel Malik Bensafta & Semedo Gervasio, 2011. "Chocs, chocs de volatilité et contagion entre les marchés boursiers. Application d'un modèle icss-mgarch," Revue économique, Presses de Sciences-Po, vol. 62(2), pages 277-311.
    • Handle: RePEc:cai:recosp:reco_622_0277
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    Citations

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    Cited by:

    1. Kamel Malik Bensafta, 2014. "A Regional Analysis of Markets Uncertainty Spillover," Working Papers halshs-01203692, HAL.
    2. Ben Rejeb, Aymen & Arfaoui, Mongi, 2016. "Financial market interdependencies: A quantile regression analysis of volatility spillover," Research in International Business and Finance, Elsevier, vol. 36(C), pages 140-157.
    3. Ben Rejeb, Aymen, 2017. "On the volatility spillover between lslamic and conventional stock markets: A quantile regression analysis," Research in International Business and Finance, Elsevier, vol. 42(C), pages 794-815.
    4. Ben Rejeb, Aymen, 2016. "Volatility Spillover between Islamic and conventional stock markets: evidence from Quantile Regression analysis," MPRA Paper 73302, University Library of Munich, Germany.
    5. Kamel Malik Bensafta & Gervasio Semedo, 2014. "Transmission de la volatilité et Central-Banking," Working Papers halshs-01012058, HAL.
    6. Aymen Ben Rejeb & Adel Boughrara, 2015. "Financial integration in emerging market economies: Effects on volatility transmission and contagion," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 15(3), pages 161-179, September.
    7. Aymen Ben Rejeb, 2013. "Volatility spillovers and contagion: an empirical analysis of structural changes in emerging market volatility," Economics Bulletin, AccessEcon, vol. 33(1), pages 56-71.
    8. Ben Rejeb, Aymen & Arfaoui, Mongi, 2016. "Conventional and Islamic stock markets: what about financial performance?," MPRA Paper 73495, University Library of Munich, Germany.
    9. Kamel Malik BENSAFTA & Gervasio SEMEDO, 2013. "Transmission de la volatilité et central banking : quelles réactions durant la crise des subprimes ?," LEO Working Papers / DR LEO 1694, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.

    More about this item

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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