英文摘要 |
This study sets up an integrated multivariate GJR model with time-varying correlation based on the t distribution (VC-MGJR- t) to test the contagion effect and flight to quality during a financial crisis. We extend the MGARCH model by Tse & Tsui (2002) to address conditional heteroskedasticity, asymmetric volatility, time-varying correlation, spillovers, and fat-tailed distributions simultaneously. The empirical results reveal the presence of a contagion effect only in Italy during the Greek debt crisis period. The flight-to-quality effects from stocks to REITs were found to exist in Greece 1-3 months after a financial crisis. We therefore suggest that investors could use REITs for hedging and decreasing their losses. |