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

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  • Ryan SULEIMANN

    (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 SULEIMANN, 2003. "New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach," Econometrics 0307003, EconWPA, revised 18 Jul 2003.
  • Handle: RePEc:wpa:wuwpem:0307003
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    Cited by:

    1. Francisco López-Herrera & Roberto J. & Edgar Ortiz, 2014. "Interdependence of NAFTA Capital Markets: A Minimum Variance Portfolio Approach," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 61(6), pages 691-707, December.
    2. Ryan SULEIMANN, 2003. "Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach," Econometrics 0307004, EconWPA, revised 18 Jul 2003.

    More about this item

    Keywords

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

    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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