Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/194740 
Year of Publication: 
2017
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 5 [Issue:] 1 [Publisher:] Taylor & Francis [Place:] Abingdon [Year:] 2017 [Pages:] 1-28
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
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.
Subjects: 
speculative bubbles
behavioral finance
financial contagion DCC
JEL: 
G01
G02
C58
C19
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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