This paper examines the contagion effects of the U.S. subprime crisis on international stock markets using a DCC-GARCH model on 38 country data. We find evidence of financial contagion not only in emerging markets but also in developed markets during the U.S. subprime crisis. We also find...

Previous research has proven that large financial markets can be prime determinants of volatility in smaller markets. This paper seeks to examine in a broader sense the linkages between developed and emerging financial markets. More specifically, we examine the relationship between two greatest...

This paper analyses the dynamic transmission mechanism of volatility spillovers between key global financial indicators and G20 stock markets. To examine the volatility spillover relations a bivariate GARCH-BEKK model, which captures volatility spillovers, is combined with complex network...

We applied the Log-periodic power law singularity (LPPLS) methodology to analyze the performances of the 10 major global stock market indexes from both developed and emergent stock markets in the 2020 global stock market. The results show that the crashes for the 7 indexes: SP500, DJIA, NASDAQ,...

We analyze global equity market co-movement during the last 25 years using a dynamic spatial model. Based on a generalized autoregressive score model, we analyze the co-movement among global, European, American, and Asian equity markets during various crises including the Asian, the financial,...