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...

Full description

Saved in:
Bibliographic details
Main Author: Quoreshi, A.M.M. Shahiduzzaman
Uddin, Reaz
Jienwatcharamongkhol, Viroj
Format: Journal Article
Language: English
Place of publication: Blekinge Tekniska Högskola, Institutionen för industriell ekonomi 2019
Data of publication: 2019
Discipline: Economics
Bibliography: Journal of Risk and Financial Management, 1911-8074, 2019, 12:2
2019, 12:2
Online Access: available in Bonn?
Database: Blekinge Tekniska Hogskola - DiVA (Research)
Database information Databases - DBIS