Percorrer por autor "Zaouali, Safa"
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- The financial contagion between developed and emerging countries with US market : an analysis using NARDL modelsPublication . Zaouali, Safa; Monte, Ana PaulaThe aim of this dissertation is to examinate the short- and long-term asymmetric relationship between the US market and some developed and emerging countries. Based on the literature and given that the academic research on the asymmetric long-run relationship between developed and emerging stock markets is not very developed in the old studies and to our knowledge. So, our objective here is to analyse this relationship by a Nonlinear Auto Regressive Distributed Lag (NARDL) model between the US market and some developed and emerging markets considering the subprime crisis. The outcomes demonstrated that server variables , have short-Terme effects on the market index , SP500, with significant influences from BOVESPA, SPTSX, NIKKEI225, and FTSE on the US market index. However, the SHANGH variable no notable impact. The SP500 is negatively influenced by other factors such as the DAX , STI , and CAC40 . Moreover, there is a long- term cointegration relationship between all markets , and the US market index yield is driven by both positive and negative movements. Thus, the other objective is also to test whether this asymmetric effect between those different market depends on the methodology using a particular group of stock market indices were chosen for a period from 2007 to 2022 using a NARDL model.