FOREX and equity markets spillover effects among USA, Brazil, Italy, Germany and Canada in the aftermath of the Global Financial Crisis

In this paper, we investigate the spillover effects of forex and equity markets in USA, Brazil, Italy, Germany, and Canada using daily data. Using AR-dialog BEKR model we tested for the contagion & co-movement effect in equity markets during the post financial crises period of 2010-2018. The est...

Full description

Saved in:
Bibliographic Details
Published inJournal of Finance and Accounting Research Vol. 2; no. 1; p. 1
Main Authors Tsiaras, Konstantinos, Simos, Theodore
Format Journal Article
LanguageEnglish
Published 28.02.2020
Online AccessGet full text

Cover

More Information
Summary:In this paper, we investigate the spillover effects of forex and equity markets in USA, Brazil, Italy, Germany, and Canada using daily data. Using AR-dialog BEKR model we tested for the contagion & co-movement effect in equity markets during the post financial crises period of 2010-2018. The estimated dynamic conditional correlations show the strongest contagion effects for the pairs of markets as follows: S&P500-BOVESPA, S&P500-FTSEMIB, S&P500-DAX30 and S&P500-S&PTSX. For institutions, multinational corporations, and active investors, a portfolio consisting of financial assets from the above markets is extremely risky.
ISSN:2617-2232
2663-838X
DOI:10.32350/JFAR/0201/03