Open AccessFOREX and equity markets spillover effects among USA, Brazil, Italy, Germany and Canada in the aftermath of the Global Financial Crisis
Author(s) -
Konstantinos Tsiaras,
Theodore Simos
Publication year - 2020
Publication title -
journal of finance and accounting research
Language(s) - English
Resource type - Journals
eISSN - 2663-838X
pISSN - 2617-2232
DOI - 10.32350/jfar/0201/03
Subject(s) - equity (law) , spillover effect , multinational corporation , foreign exchange market , financial market , financial crisis , portfolio , economics , capital market , foreign exchange , financial system , business , monetary economics , financial economics , finance , political science , macroeconomics , law
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.