Empirical Research on the Contagion Effect of Financial Crisis

Abstract:

The international financial crisis has caused broad impact and serious consequences to international economic order and the economic development of every country. Therefore, making modeling research on the effect of crisis contagion between some economic markets in order to take timely measures to prevent the further spread of contagion is of great significance for maintaining a countrys economic security, and the stability of global economic and financial system. To prevent economy from being destroyed by financial crisis contagion, this paper puts forward a new testing approach on the contagion effect of financial crisis. This approach is to test the contagion effect of financial crisis by examining whether the conditional variances of different countries financial markets in crisis period are correlated through Generalized Autoregressive Conditional Heteroskedasticity model. Empirical study shows that, this new approach is effective and practical in testing the contagion effect of financial crisis.

• Periodical: Advanced Materials Research (Volume 740)
• Pages: 364-367
• DOI: https://doi.org/10.4028/www.scientific.net/AMR.740.364
• Online since: August 2013
• Authors: Yi Xian Chai, Dan Liu, Zhi Bo Zhang, Yan Li Xu
• Keywords: Causality Test, Crisis Contagion Effect, Empirical Study, GARCH, Impulse Response

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