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, 2020
30 Pages Posted: 12 May 2021 Last revised: 13 May 2021
Date Written: 2020
In this paper we investigate the spillover effects of FOREX and equity markets for USA, Brazil, Italy, Germany and Canada on the basis of daily data. We test for contagion co-movements for the period 2010-2018 post global financial crisis, using the trivariate AR-diagonal BEKK model. The estimated dynamic conditional correlations show the strongest contagion effects for the pairs of markets: 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.
Keywords: Financial contagion, Global Economic Crisis, AR diagonal BEKK model, International equity market, Foreign exchange market
JEL Classification: C58, C61, G11, G15
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