Focusing on five major emerging markets (EM), I investigate the interactions between credit default swap (CDS) premiums, foreign exchange (FX) parities, local currency government bond (LCB) spreads, and national stock market indices over the period 4/2/2007 to 8/27/2009. Empirical analysis...

In this paper, we study the determinants of daily spreads for emerging market sovereign credit default swaps (CDS) over the period April 2002–December 2011. Using GARCH models, we find, first, that daily CDS spreads for emerging market sovereigns are more related to global and regional risk...

This study investigates the effects of the recent global crisis on the relative efficiency of six CEE currency markets, using the Generalized Spectral test of Escanciano and Velasco (2006) in a rolling window approach. The empirical results show that the global crisis adversely affected the...

We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our sample. Investors herd selectively to crises and herding is a short-lived phenomenon. Herding was highest during the global financial crisis (only China was affected). There was...

We investigate for the role of Foreigners, Local Institutions and Local individuals in days of Contagion in a set of six emerging markets from 2007 to 2016. We propose a new and intuitive continuous measure of Contagion based on the probability of a coincidence of daily negative returns in both...

In this paper, we analyse historical stock market volatility and co-movement behaviour of three emerging markets and three developed economies from January 2001 to December 2012. We find evidence that the sample of emerging economies exhibits higher stock market volatility during the study...

This paper investigates the occurrence of dependency between foreign exchange markets and stock markets in emerging market (EM) countries by testing volatility spillovers of asset returns using a BEKK GARCH (1,1) model. The author modifies the classical BEKK GARCH model in order to study the...

We investigate the role of Foreigners, local Institutions and local individuals in days of Contagion in a set of seven emerging markets from 2007 to 2016. We propose and use a simple measure of the degree of Contagion based on the probability of a coincidence of daily negative returns in both...

We investigate the role of Foreigners, local Institutions and local individuals in days of Contagion in a set of seven emerging markets from 2007 to 2016. We propose and use a simple measure of the degree of Contagion based on the probability of a coincidence of daily negative returns in both...

This paper studies large price declines of individual stocks in 22 emerging markets. Using analyst reports as a proxy for information arrivals, we find that majority of crashes in emerging markets are not accompanied by information events, and these crashes are followed by price reversals....