Speculative bubbles and contagion: Analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model

Autor(es)

Kohn, Maximilian-Benedikt Herwarth ^[1] ; Valls Pereira, Pedro L. ^{[1, 2]}

Afiliação do(s) autor(es)

^[1] Sao Paulo Sch Econ FGV, Sao Paulo - Brazil

^[2] CEQEF FGV, Sao Paulo - Brazil

• Tipo de documento: Artigo Científico
• Fonte: COGENT ECONOMICS & FINANCE; v. 5, n. 1 DEC 13 2017.
• Citações Web of Science: 2

Resumo

Reviewing the definition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed as on one hand as an econometrics explanation and on the other hand the behavioral finance as an psychological explanation. Contagion is defined in this context as the statistical break in the computed DCCs as measured by the shifts in their means and medians. Even it is astonishing, that the contagion is lower during price bubbles, the main finding indicates the presence of contagion in the different indices among those two continents and prove the presence of structural changes during financial crisis. (AU)

• Processo FAPESP: 13/22930-0 - Descoberta de preços em carteiras de arbitragem de alta dimensão
• Beneficiário: Pedro Luiz Valls Pereira
• Modalidade de apoio: Auxílio à Pesquisa - Temático