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In this paper, we investigate the spillover effects of forex and equity markets in USA, Brazil, Italy, Germany, and Canada using daily data. Using AR-dialog BEKR model we tested for the contagion & co-movement effect in equity markets during the post financial crises period of 2010-2018. The estimated dynamic conditional correlations show the strongest contagion effects for the pairs of markets as follows: S&P500-BOVESPA, S&P500-FTSEMIB, S&P500-DAX30 and S&P500-S&PTSX. For institutions, multinational corporations, and active investors, a portfolio consisting of financial assets from the above markets is extremely risky.
Konstantinos Tsiaras, Theodore Simos. (2021) Forex and equity markets spillover effects among USA, Brazil, Italy, Germany and Canada in the aftermath of the global financial crisis, , Volume 3, Issue 1.
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