Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models

Samar Zlitni Abdelkefi; Walid Khoufi

doi:doi:10.11648/j.ijefm.20150303.18

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Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models

Samar Zlitni Abdelkefi, Walid Khoufi

Published in International Journal of Economics, Finance and Management Sciences (Volume 3, Issue 3)

Received: 18 February 2015 Accepted: 22 April 2015 Published: 6 May 2015

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Abstract

The purpose of this paper is to apply the Bivariate BEKK- GARCH (1, 1) and DCC- GARCH models in evaluating volatility spillovers and dynamic conditional correlation between stock indices. In this paper, the causal relation between stock markets (Nasdaq and each of these indices: Cac 40, Dax 30, Ftse 100, Global Dow Hangseng, Nikkei 225, Russell 2000, Shanghai, S&P 500 and Stoxx 600) is examined through applying Granger Causality test. The sample period started from January, 5th 2001 to September, 17th 2014. The whole sample period was divided into three sub-periods: Pre-crisis, global financial crisis and Post-crisis. Overall results proved unilateral and bilateral relationship between the variables. DCC model’s coefficients prove significant interdependence for all indices except Hangseng, Shanghai and S&P500.

Published in	International Journal of Economics, Finance and Management Sciences (Volume 3, Issue 3)
DOI	10.11648/j.ijefm.20150303.18
Page(s)	213-230
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2015. Published by Science Publishing Group

Keywords

Stock Markets, USA, Asia, Europe, Volatility Spillovers, Granger Causality Test, Impulse Responses, Bivariate BEKK GARCH (1, 1), DCC Models

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APA Style

Samar Zlitni Abdelkefi, Walid Khoufi. (2015). Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models. International Journal of Economics, Finance and Management Sciences, 3(3), 213-230. https://doi.org/10.11648/j.ijefm.20150303.18

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ACS Style

Samar Zlitni Abdelkefi; Walid Khoufi. Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models. Int. J. Econ. Finance Manag. Sci. 2015, 3(3), 213-230. doi: 10.11648/j.ijefm.20150303.18

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AMA Style

Samar Zlitni Abdelkefi, Walid Khoufi. Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models. Int J Econ Finance Manag Sci. 2015;3(3):213-230. doi: 10.11648/j.ijefm.20150303.18

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@article{10.11648/j.ijefm.20150303.18,
  author = {Samar Zlitni Abdelkefi and Walid Khoufi},
  title = {Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models},
  journal = {International Journal of Economics, Finance and Management Sciences},
  volume = {3},
  number = {3},
  pages = {213-230},
  doi = {10.11648/j.ijefm.20150303.18},
  url = {https://doi.org/10.11648/j.ijefm.20150303.18},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijefm.20150303.18},
  abstract = {The purpose of this paper is to apply the Bivariate BEKK- GARCH (1, 1) and DCC- GARCH models in evaluating volatility spillovers and dynamic conditional correlation between stock indices. In this paper, the causal relation between stock markets (Nasdaq and each of these indices: Cac 40, Dax 30, Ftse 100, Global Dow Hangseng, Nikkei 225, Russell 2000, Shanghai, S&P 500 and Stoxx 600) is examined through applying Granger Causality test. The sample period started from January, 5th 2001 to September, 17th 2014. The whole sample period was divided into three sub-periods: Pre-crisis, global financial crisis and Post-crisis. Overall results proved unilateral and bilateral relationship between the variables. DCC model’s coefficients prove significant interdependence for all indices except Hangseng, Shanghai and S&P500.},
 year = {2015}
}

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TY  - JOUR
T1  - Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models
AU  - Samar Zlitni Abdelkefi
AU  - Walid Khoufi
Y1  - 2015/05/06
PY  - 2015
N1  - https://doi.org/10.11648/j.ijefm.20150303.18
DO  - 10.11648/j.ijefm.20150303.18
T2  - International Journal of Economics, Finance and Management Sciences
JF  - International Journal of Economics, Finance and Management Sciences
JO  - International Journal of Economics, Finance and Management Sciences
SP  - 213
EP  - 230
PB  - Science Publishing Group
SN  - 2326-9561
UR  - https://doi.org/10.11648/j.ijefm.20150303.18
AB  - The purpose of this paper is to apply the Bivariate BEKK- GARCH (1, 1) and DCC- GARCH models in evaluating volatility spillovers and dynamic conditional correlation between stock indices. In this paper, the causal relation between stock markets (Nasdaq and each of these indices: Cac 40, Dax 30, Ftse 100, Global Dow Hangseng, Nikkei 225, Russell 2000, Shanghai, S&P 500 and Stoxx 600) is examined through applying Granger Causality test. The sample period started from January, 5th 2001 to September, 17th 2014. The whole sample period was divided into three sub-periods: Pre-crisis, global financial crisis and Post-crisis. Overall results proved unilateral and bilateral relationship between the variables. DCC model’s coefficients prove significant interdependence for all indices except Hangseng, Shanghai and S&P500.
VL  - 3
IS  - 3
ER  -

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Author Information

Samar Zlitni Abdelkefi

Faculty of Economics and Management of Sfax, Sfax, Tunisia
Walid Khoufi

School of High Business Studies of Sfax, Sfax, Tunisia

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APA Style

Samar Zlitni Abdelkefi, Walid Khoufi. (2015). Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models. International Journal of Economics, Finance and Management Sciences, 3(3), 213-230. https://doi.org/10.11648/j.ijefm.20150303.18

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ACS Style

Samar Zlitni Abdelkefi; Walid Khoufi. Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models. Int. J. Econ. Finance Manag. Sci. 2015, 3(3), 213-230. doi: 10.11648/j.ijefm.20150303.18

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AMA Style

Samar Zlitni Abdelkefi, Walid Khoufi. Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models. Int J Econ Finance Manag Sci. 2015;3(3):213-230. doi: 10.11648/j.ijefm.20150303.18

Copy | Download

@article{10.11648/j.ijefm.20150303.18,
  author = {Samar Zlitni Abdelkefi and Walid Khoufi},
  title = {Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models},
  journal = {International Journal of Economics, Finance and Management Sciences},
  volume = {3},
  number = {3},
  pages = {213-230},
  doi = {10.11648/j.ijefm.20150303.18},
  url = {https://doi.org/10.11648/j.ijefm.20150303.18},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijefm.20150303.18},
  abstract = {The purpose of this paper is to apply the Bivariate BEKK- GARCH (1, 1) and DCC- GARCH models in evaluating volatility spillovers and dynamic conditional correlation between stock indices. In this paper, the causal relation between stock markets (Nasdaq and each of these indices: Cac 40, Dax 30, Ftse 100, Global Dow Hangseng, Nikkei 225, Russell 2000, Shanghai, S&P 500 and Stoxx 600) is examined through applying Granger Causality test. The sample period started from January, 5th 2001 to September, 17th 2014. The whole sample period was divided into three sub-periods: Pre-crisis, global financial crisis and Post-crisis. Overall results proved unilateral and bilateral relationship between the variables. DCC model’s coefficients prove significant interdependence for all indices except Hangseng, Shanghai and S&P500.},
 year = {2015}
}

Copy | Download

TY  - JOUR
T1  - Stock Markets Linkages Before, During and After Subprimes Crisis: Bivariate BEKK GARCH (1, 1) and DCC Models
AU  - Samar Zlitni Abdelkefi
AU  - Walid Khoufi
Y1  - 2015/05/06
PY  - 2015
N1  - https://doi.org/10.11648/j.ijefm.20150303.18
DO  - 10.11648/j.ijefm.20150303.18
T2  - International Journal of Economics, Finance and Management Sciences
JF  - International Journal of Economics, Finance and Management Sciences
JO  - International Journal of Economics, Finance and Management Sciences
SP  - 213
EP  - 230
PB  - Science Publishing Group
SN  - 2326-9561
UR  - https://doi.org/10.11648/j.ijefm.20150303.18
AB  - The purpose of this paper is to apply the Bivariate BEKK- GARCH (1, 1) and DCC- GARCH models in evaluating volatility spillovers and dynamic conditional correlation between stock indices. In this paper, the causal relation between stock markets (Nasdaq and each of these indices: Cac 40, Dax 30, Ftse 100, Global Dow Hangseng, Nikkei 225, Russell 2000, Shanghai, S&P 500 and Stoxx 600) is examined through applying Granger Causality test. The sample period started from January, 5th 2001 to September, 17th 2014. The whole sample period was divided into three sub-periods: Pre-crisis, global financial crisis and Post-crisis. Overall results proved unilateral and bilateral relationship between the variables. DCC model’s coefficients prove significant interdependence for all indices except Hangseng, Shanghai and S&P500.
VL  - 3
IS  - 3
ER  -

Copy | Download