Publications by Year: 2013

2013
Dimitriou, D. KSDT. Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH-DCC approach. International Review of Financial Analysis [Internet]. 2013;30:46-56. Website
Kenourgios, D. ASDA. Testing for asymmetric financial contagion: New evidence from the Asian crisis. Journal of Economic Asymmetries [Internet]. 2013;10:129-137. Website
Dimitriou, D. KD. Financial crises and dynamic linkages among international currencies. Journal of International Financial Markets, Institutions and Money [Internet]. 2013;26:319-332. Website
Asteriou, D. SKAD. The London 2012 Olympic Games announcement and its effect on the London Stock Exchange. Journal of Economic Studies [Internet]. 2013;40:203-221. Website
Mouratidis, K. KSVDAD. Evaluating currency crises: A multivariate markov regime switching approach*. Manchester School [Internet]. 2013;81:33-57. Website
Kenourgios D, Christopoulos A, Dimitriou D. Asset markets contagion during the global financial crisis. Multinational Finance Journal [Internet]. 2013;17(1/2):49-76. Publisher's VersionAbstract
This study investigates the contagion effects of the 2007-2009 global financial crisis across multiple asset markets and different regions. It uses daily return data of six asset classes: stocks, bonds, commodities, shipping, foreign exchange and real estate. A robust analysis of financial contagion is provided by estimating and comparing asymmetric conditional correlations among asset markets during stable and turmoil periods. Results provide evidence on the existence of a correlated-information channel as a contagion mechanism among the U.S. stocks, real estate, commodities and emerging Brazilian bond index. The findings also support the decoupling of BRIC equity markets from the crisis, the diversification benefits of shipping and foreign exchange value of the U.S. dollar indices, and the existence of a flight to quality mechanism from risky U.S. assets to German bonds. This evidence has important implications for portfolio diversification strategies and the future work of policymakers.