East Asian Financial Contagion under DCC-Garch

Authors

  • J. H. Cho Florida International University, United States
  • Ali M. Parhizgari Florida International University, United States

DOI:

https://doi.org/10.32890/ijbf2009.6.1.2

Keywords:

Contagion, East Asian financial markets, Dynamic conditional correlation

Abstract

We consider the definition and measurement of contagion by analysing the 1997 East Asian financial crisis in the equity markets of eight countries using dynamic conditional correlation (DCC). Taking Thailand and Hong Kong as alternative sources of contagion, a total of fourteen source-target pairs is analyzed. We define contagion as the statistical break in the computed DCCs as measured by the shifts in their means and medians. In the DCC process, the parameters of each pair of source-target country contagion are allowed to vary and be dictated by the data. Contagion is tested using DCC means and medians difference tests. Our findings indicate the presence of contagion in the equity markets across all the fourteen pairs of source-target countries that are considered.

 

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Published

17-03-2009

Issue

Vol. 6 No. 1 (2009): International Journal of Banking and Finance (IJBF) Vol. 6, No.1, 2009

Section

Articles

How to Cite

Cho, J. H., & Parhizgari, A. M. (2009). East Asian Financial Contagion under DCC-Garch. International Journal of Banking and Finance, 6(1), 17-30. https://doi.org/10.32890/ijbf2009.6.1.2

Research impact

Harvested 2026-09-07
114 citations, from OpenAlex — the highest of the sources checked

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Identifiers DOI 10.32890/ijbf2009.6.1.2 OpenAlex W104899527