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Determinants of stock market comovements among US and emerging economies during the US financial crisis

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  • Hwang, Eugene
  • Min, Hong-Ghi
  • Kim, Bong-Han
  • Kim, Hyeongwoo

Abstract

By analyzing the dynamic conditional correlations (DCC) of the daily stock returns of 10 emerging economies in comparison with those of the US for the period of 2006–2010, we find different patterns of crisis spillover among 10 emerging economies. While a group of countries has three distinctive phases of crisis spillover (contagion, herding, and post-crisis adjustment), other groups show different phases of crisis spillover. It is also shown that increases in CDS spread and TED spread decrease conditional correlations while increases in foreign institutional investment, exchange market volatility, and the VIX index of the S&P 500 increase conditional correlations.

Suggested Citation

  • Hwang, Eugene & Min, Hong-Ghi & Kim, Bong-Han & Kim, Hyeongwoo, 2013. "Determinants of stock market comovements among US and emerging economies during the US financial crisis," Economic Modelling, Elsevier, vol. 35(C), pages 338-348.
    • Handle: RePEc:eee:ecmode:v:35:y:2013:i:c:p:338-348
    DOI: 10.1016/j.econmod.2013.07.021
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    More about this item

    Keywords

    Dynamic conditional correlations; Contagion; Herding; US financial crisis; VIX index; CDS spread;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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