Seifallah Khemiri’s scientific contributions

Our purpose in this paper is to examine financial contagion using the DCC GARCH (1, 1) technique and a correlation test. Our sample includes stock returns of 10 emerging markets from 1 January 2005 to 01 July 2010. The DCC GARCH (1, 1) results indicate a significant conditional correlation between emerging markets returns (Argentina, Brazil, Korea, Honk-Kong, Indonesia, Malaysia, Mexico, Shanghai, Singapore and Taiwan) and the American market during the subprime crisis except for the Shanghai market (China). Moreover, defining contagion as a significant increase of relationships across markets and adjusting correlation coefficients to control for heteroscedasticity, we notice a contagion effect from the US towards Argentina, Brazil, Korea, Honk-Kong, Malaysia, Mexico and Singapore.