Equity Market Contagion in Return Volatility during Euro Zone and Global Financial Crises: Evidence from FIMACH Model

The current paper studies equity markets for the contagion of squared index returns as a proxy for stock market volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including the US, UK, Euro Zone and BRICS (Brazil, Russia, India, Ch...

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Bibliographic details
Volume: 12
Main Author: Quoreshi, A. M. M. Shahiduzzaman
Uddin, Reaz
Jienwatcharamongkhol, Viroj
Format: Journal Article
Language: English
Place of publication: MDPI AG 06.06.2019
published in: Journal of risk and financial management Vol. 12; no. 2; p. 94
ORCID: 0000-0002-7277-9151
Data of publication: 2019-06-06
ISSN: 1911-8074
EISSN: 1911-8074
Discipline: Business
Online Access: Fulltext
Database: CrossRef
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