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New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach

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  • Ryan Lemand

    (ECOLE NORMALE SUPERIEURE DE CACHAN)

Abstract

The episodes of stock market crises in Europe and the U.S.A. since the year 2000,and the fragility of the New Technology sector after the explosion of the speculative bubble,have sparked the interest of researchers in understanding and in modeling this market’s high volatility to prevent against crises.The strong linkage of the American and European New Technology sectors has brought up the co-movement and the contagion hypothesis,especially after the fall in new technology stock prices in Europe following the explosion of the IT speculative bubble in the U.S.A.In this article,we attempt to show that the NASDAQ- 100 is a major origin for the shocks that the IT.CAC and the NEMAX undergo.We construct a VAR model with GARCH errors to show this linkage and we find that the NASDAQ-100 has a strong effect on the French IT.CAC;this approach is an original work on contagion in the case of stock market indexes.

Suggested Citation

  • Ryan Lemand, 2003. "New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach," Econometrics 0307003, University Library of Munich, Germany, revised 07 Dec 2020.
    • Handle: RePEc:wpa:wuwpem:0307003
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    More about this item

    Keywords

    Conditional Variance; Regime Changes; New Technologies; Contagion; Volatility; VAR; Causality.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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