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De la transmission de la volatilité à la contagion entre marchés boursiers : l’éclairage d’un modèle VAR non linéaire avec bris structurels en variance

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  • Bensafta, Kamel Malik

    (Groupe d’Étude et de Recherche sur la Coopération Internationale et Européenne (G.E.R.C.I.E.), Université François-Rabelais de Tours)

  • Semedo, Gervasio

    (Groupe d’Étude et de Recherche sur la Coopération Internationale et Européenne (G.E.R.C.I.E.), Université François-Rabelais de Tours)

Abstract
We develops in this paper a nonlinear vector autoregressive model to study stock market interdependences. Among the innovations of this work, we introduce a structural break in the conditional variances-covariance’s matrix of multivariate GARCH process. We consider a BEKK expand with shocks to volatility transmission across markets. The purpose of these amendments is to respond to several biases in the measurement of volatilities and correlations between markets: a primer bias is the shocks to volatility persistence over estimating; second, heteroskedasticity and omitted variables bias in market cross-correlation estimates. We use a sample of 11 markets from Europe, North America, and Asia with weekly data of market indices between 1985 and 2006. Several interesting results are obtained with this model: the reduction of shocks to volatility persistence, price and uncertainties transmission from U.S. market to European and Asian markets, regional transmission phenomenon in Europe and Asia, apart from the U.S. crash of October 1987, all crises are not always contagious. At last but not the least, it is not clear that financial liberalization isolates markets from instability and contagion, although the integration is a good tool for market efficiency. Crises and contagion phenomenon can be market equilibrating process. Résumé : Nous développons dans cet article une modélisation vectorielle autorégressive non linéaire pour l’étude des interdépendances entre les marchés boursiers. Parmi les innovations de ce travail, nous introduisons un bris structurel dans la matrice des variances-covariances conditionnelle d’un processus GARCH multivarié. Dans cet ordre d’idée, nous considérons une spécification BEKK de cette matrice augmentée avec des régresseurs de transmission des chocs de volatilité entre les marchés. L’objectif de cette modification est de répondre à plusieurs biais importants dans la mesure des volatilités et des corrélations entre les marchés : d’une part, le biais de surestimation de la persistance des chocs de volatilité; d’autre part, les biais d’hétéroscédasticité et de variables omises dans la mesure des corrélations. Nous considérons ici un échantillon de 11 marchés boursiers d’Europe, d’Amérique du Nord et d’Asie avec des données hebdomadaires des indices les plus larges entre 1985 et 2006. Plusieurs résultats intéressants sont obtenus avec cette modélisation : la réduction de la persistance des chocs de volatilité; l’évidence d’une transmission des prix et des incertitudes du marché américain vers les marchés européens et asiatiques; l’existence de phénomène de transmission régionale en Europe et en Asie; mis à part le krach américain d’octobre 1987, toutes les crises ne sont pas systématiquement contagieuses. Au final, il n’est pas évident que la libéralisation financière isole les marchés des crises financières diverses, bien que l’intégration soit un vecteur d’efficience des marchés. Les crises et le phénomène de contagion en période de crise peuvent être considérés comme des processus de rééquilibrage des marchés qui doivent être encadrés, régulés et supervisés.

Suggested Citation

  • Bensafta, Kamel Malik & Semedo, Gervasio, 2009. "De la transmission de la volatilité à la contagion entre marchés boursiers : l’éclairage d’un modèle VAR non linéaire avec bris structurels en variance," L'Actualité Economique, Société Canadienne de Science Economique, vol. 85(1), pages 13-76, mars.
    • Handle: RePEc:ris:actuec:0002
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    References listed on IDEAS

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