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A multi-country analysis of the 2007--2009 financial crisis: empirical results from discrete and continuous time models

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  • P. Dontis-Charitos
  • S. R. Jory
  • T. N. Ngo
  • K. B. Nowman

Abstract

In this article, we provide empirical evidence of the recent financial crisis over 2007--2009 using discrete time multivariate GARCH (MGARCH) models and continuous time modelling approaches. Using daily data for 14 countries, we investigate the return and volatility spillovers among the US and other international markets. The MGARCH results reveal positive return spillovers from the US to a number of markets, and volatility transmission is verified. The US market is prone to return and volatility transmission from a limited number of markets. The continuous time analysis finds evidence of feedback effects in some cases. Evidence shows that spillover effects intensified during the financial crisis.

Suggested Citation

  • P. Dontis-Charitos & S. R. Jory & T. N. Ngo & K. B. Nowman, 2013. "A multi-country analysis of the 2007--2009 financial crisis: empirical results from discrete and continuous time models," Applied Financial Economics, Taylor & Francis Journals, vol. 23(11), pages 929-950, June.
    • Handle: RePEc:taf:apfiec:v:23:y:2013:i:11:p:929-950
    DOI: 10.1080/09603107.2013.778944
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    1. Bergstrom,Albert Rex & Nowman,Khalid Ben, 2012. "A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends," Cambridge Books, Cambridge University Press, number 9781107411234, January.
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    Cited by:

    1. Thanaset Chevapatrakul & Kai-Hong Tee, 2014. "The Effects of News Events on Market Contagion: Evidence from the 2007-2009 Financial Crisis," Discussion Papers 2014/08, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    2. Chevapatrakul, Thanaset & Tee, Kai-Hong, 2014. "The effects of news events on market contagion: Evidence from the 2007–2009 financial crisis," Research in International Business and Finance, Elsevier, vol. 32(C), pages 83-105.

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