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Spillovers to Emerging Markets from US Economic News and Monetary Policy

Engler, Philipp; Piazza, Roberto; Sher, Galen - 2023

When the U.S. economy sneezes, do emerging markets catch a cold? We show that economic news, and not just monetary policy, in the United States affects financial conditions in emerging markets. News about U.S. employment has the strongest effects, followed by news about economic activity and...

Persistent link: https://www.econbiz.de/10014350292

Cross-Border Capital Flows and Information Spillovers across the Equity and Currency Markets in Emerging Economies

Bathia, Deven; Demirer, Riza; Ferrer Lapeña, Roman; … - 2021

This paper presents a novel perspective on the interaction between equity and currency markets in emerging market economies (EMEs) by (i) examining the nonlinear effects of capital flows on return spillovers between the stock and currency markets in a sample of twelve EMEs via the...

Persistent link: https://www.econbiz.de/10013227691

Investigation on the Effect of Global EPU Spillovers on Country-level Stock Market Idiosyncratic Volatility

Caglayan, Mustafa Onur; Gong, Yuting; Xue, Wenjun - 2022

Using the multivariate quantile model, this paper develops a global economic policy uncertainty (EPU) spillover measure for each country, and investigates the spillover effects on the country-level stock market idiosyncratic volatility across a sample of 23 economies. The regression results show...

Persistent link: https://www.econbiz.de/10013406077

Cross-market correlations and financial contagion from developed to emerging economies : a case of COVID-19 pandemic

Siddiqui, Taufeeque Ahmad; Khan, Mazia Fatima; Naushad, … - In: Economies : open access journal 10 (2022) 6, pp. 1-12

-varying multivariate DCC-GARCH model. The findings confirm that certain emerging markets are experiencing contagion from developed markets …

Persistent link: https://www.econbiz.de/10013256277

Regime-Switching in Emerging Stock Market Returns

Assoe, Kodjovi - 2016

Many emerging markets have experienced significant changes in government policies and capital market reforms. These changes may lead to changes in their return-generating processes. Based on Markov-switching models, this paper investigates whether there is more than one regime in the...

Persistent link: https://www.econbiz.de/10013004218

On Emerging Stock Market Contagion : The Baltic Region

Alexakis, Panayotis - 2015

This study provides new evidence on emerging stock market contagion during the Global Financial crisis (GFC) and the … crisis periods. Empirical evidence indicates a diverse contagion pattern for the Baltic region across the two crises. Latvia …

Persistent link: https://www.econbiz.de/10013013196

Global Financial Crisis and Emerging Stock Market Contagion : A Multivariate FIAPARCH-DCC Approach

Dimitriou, Dimitrios I. - 2013

This paper empirically investigates the contagion effects of the global financial crisis in a multivariate Fractionally … economic and a statistical approach. The empirical evidence does not confirm a contagion effect for most BRICS during the early … show a pattern of contagion for all BRICSs' markets that could be attributed to their common trade and financial …

Persistent link: https://www.econbiz.de/10013080540

Contagion of the subprime financial crisis on frontier stock markets : a copula analysis

Mohti, Wahbeeah; Dionísio, Andreia Teixeira Marques; … - In: Economies : open access journal 7 (2019) 1/15, pp. 1-14

This study assesses contagion from the USA subprime financial crisis on a large set of frontier stock markets. Copula … occurrence of the crisis. Statistically significant evidence of contagion could only be found in the European region, with the …

Persistent link: https://www.econbiz.de/10012020525

Intra and Inter-Regional Causal Linkages of Emerging Stock Markets : Evidence from Asia and Latin America in and Out of Crises

Fujii, Eiji - 2018

This study examines the causal linkages among several emerging stock markets in Asia and Latin America since 1990. These markets experienced both rapid growth and major upheaval during the sample period, and thus, provide potentially rich information on the nature of cross-market interactions....

Persistent link: https://www.econbiz.de/10014068709

Linear and Nonlinear Dynamic Linkages between Emerging Market Adrs and Their Underlying Stocks

Hunter, Delroy M. - 2004

I examine the causal linkages between the returns on emerging market ADRs, their underlying stocks, and changes in the relevant exchange rate. Using a linear VAR model with a cointegration constraint and a nonlinear causality test on daily data, I provide evidence of significant linear and...

Persistent link: https://www.econbiz.de/10014069925