Forex and equity markets spillover effects among USA, Brazil, Italy, Germany and Canada in the aftermath of the global financial crisis

  • Konstantinos Tsiaras Ioannina
  • Theodore Simos University of Ioannina, Department of Economics
Keywords: Financial contagion

Abstract

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.

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Published
2020-02-28
How to Cite
Tsiaras, K., & Simos, T. (2020). Forex and equity markets spillover effects among USA, Brazil, Italy, Germany and Canada in the aftermath of the global financial crisis. Journal of Finance and Accounting Research, 2(1), 65-93. https://doi.org/10.32350/JFAR/0201/03
Section
Articles