%0 Journal Article
%T Contagion and transmission shocks of the volatility in the equity markets: The case of developed countries
%A Ben M¡¯barek Hassene
%A Mbarek Kais
%J Interdisciplinary Journal of Research in Business
%D 2011
%I Center for Research Promotion
%X The aim of this paper is to define the concept of contagion and eventual transmission mechanisms. Thus, we have reviewed the theoretical and empirical literature on international financial contagion. Empirically we have tested for evidence of contagion through the foreign stock exchange markets of developed countries during the period 2006- 2009 considered with daily frequency used by index stock return. By applying the correlation, the cointegration methodology and VAR models, we have investigated changes in the existence and the directions of causality between these countries. We find evidence for new and changed causality patterns, considered as a proof of contagion.
%K Financial crisis
%K volatility transmission
%K contagion
%K cointegration
%K causality
%U http://www.idjrb.com/articlepdf/idjrb10n1p4.pdf