This paper empirically investigates the issue of contagion from the US stock market to the West African Regional Stock Market (BRVM) during the subprime crisis. It carries out aggregate and sectoral level analyses within a modified EGARCH framework. The results are twofold: 1) at the aggregate level, there are contagion effects in the mean and volatility from the US market to the BRVM; 2) at the sectoral level, it appears that all economic sectors have undergone the crisis through either the mean or the volatility or both.

(2009). Subprime crisis and contagion: evidence from the BRVM [journal article - articolo]. In SAVINGS AND DEVELOPMENT. Retrieved from http://hdl.handle.net/10446/27447

Subprime crisis and contagion: evidence from the BRVM

2009-01-01

Abstract

This paper empirically investigates the issue of contagion from the US stock market to the West African Regional Stock Market (BRVM) during the subprime crisis. It carries out aggregate and sectoral level analyses within a modified EGARCH framework. The results are twofold: 1) at the aggregate level, there are contagion effects in the mean and volatility from the US market to the BRVM; 2) at the sectoral level, it appears that all economic sectors have undergone the crisis through either the mean or the volatility or both.
articolo
2009
Le présent article teste empiriquement la contagion de la Bourse Régionale des Valeurs Mobilières (BRVM) par le marché boursier Américain pendant la crise des subprimes. Il effectue des analyses au niveau agrégé et au niveau sectoriel en utilisant un modèle EGARCH modifié. Deux résultats majeurs se dégagent: 1) au niveau agrégé, il y a des effets de contagion en moyenne et en volatilité du marché boursier américain vers la BRVM; 2) au niveau sectoriel, il apparaît que tous les secteurs d’activité ont subi la crise à travers la moyenne et/ou la volatilité.
Aka, BROU EMMANUEL
File allegato/i alla scheda:
File Dimensione del file Formato  
AKA suppl. 2009.pdf

accesso aperto

Versione: publisher's version - versione editoriale
Licenza: Licenza default Aisberg
Dimensione del file 413.7 kB
Formato Adobe PDF
413.7 kB Adobe PDF Visualizza/Apri
Pubblicazioni consigliate

Aisberg ©2008 Servizi bibliotecari, Università degli studi di Bergamo | Terms of use/Condizioni di utilizzo

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10446/27447
Citazioni
  • Scopus 1
  • ???jsp.display-item.citation.isi??? ND
social impact