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.| File | Dimensione del file | Formato | |
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