Financial Crisis and Contagion Effects to Indian Stock Marke (Record no. 42653)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01673nab a22001697a 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 160615b2015 xxu||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Chittedi, Krishna Reddy |
| 245 ## - TITLE STATEMENT | |
| Title | Financial Crisis and Contagion Effects to Indian Stock Marke |
| Statement of responsibility, etc. | 'DCC-GARCH Analysis / Chittedi, Krishna Reddy. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2015 |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 50 - 60 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | The study applies the dynamic conditional correlation (DCC) bivariate generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (2002) in order to capture the contagion effects during global financial crisis. We used daily stock returns for the period January 2002-December 2011 to study the contagion effects from the United States (US) to India. We have considered January 2002-December 2007 as the pre-crisis period and January 2008-December 2011 as crisis period. Empirical findings show that there has been a significant increase in the mean of correlation coefficient between the markets in the crisis periods compared to the pre-crisis period. This proves the existence of contagion between the US and Indian markets. However, this enhanced correlation does not lead to the removal of international diversification benefits since emerging markets still outperform in the long run due to reduced volatility. Finally, it should be noted that the presence of investment barriers and the importance of country-specific risks curtail foreign participation, even though it has grown considerably in a diminishing manner over time. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Bivariate Dcc-Garch Model |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Contagion |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Financial Crisis |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Stock Market |
| 773 ## - HOST ITEM ENTRY | |
| Main entry heading | Global Business Review |
| Place, publisher, and date of publication | February |
| Withdrawn status | Lost status | Damaged status | Not for loan | Permanent Location | Current Location | Date acquired | Serial Enumeration / chronology | Total Checkouts | Full call number | Barcode | Date last seen | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ahmedabad (HO) | Ahmedabad (HO) | 21/06/2016 | Vol. 16, Issue. 1 | 019122 | 21/06/2016 | 21/06/2016 | Articles |