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

• Published in: Economic modelling Vol. 35; pp. 338 - 348
• Main Authors: Hwang, Eugene, Min, Hong-Ghi, Kim, Bong-Han, Kim, Hyeongwoo
• Format: Journal Article
• Language: English
• Published: Amsterdam Elsevier B.V 01.09.2013; Elsevier Science Ltd
• Subjects: CDS spread; Contagion; Correlation analysis; Dynamic conditional correlations; Economic conditions; Economic crisis; Emerging markets; Financial crisis; Foreign direct investment; Foreign investment; Herding; Investment analysis; Manycountries; Personal finance; Rates of return; Securities markets; Stock exchange; Studies; U.S.A; US financial crisis; VIX index; Contagion; F31; US financial crisis; G15; Dynamic conditional correlations; VIX index; CDS spread; Herding
• ISSN: 0264-9993; 1873-6122
• DOI: 10.1016/j.econmod.2013.07.021

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. •We investigate DCCs of 10 emerging economies.•We find different patterns of crisis spillover.•An increase in CDS and TED spread decreases DCCs.•Exchange market volatility and VIX index of S&P 500 increase DCCs.