Emerging Market Contagion Under Geopolitical Uncertainty
| Autor: | Axel Hedström, Gazi Salah Uddin, Juha-Pekka Junttila, Nathalie Zelander |
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| Rok vydání: | 2019 |
| Předmět: |
Emerging stock markets
050208 finance spillover kansainväliset markkinat arvopaperimarkkinat 05 social sciences Diversification (finance) International economics taloudelliset kriisit Geopolitics equity market kehittyvät markkinat Spillover effect contagion finanssikriisit poliittinen epävakaisuus 0502 economics and business Economics 050207 economics Emerging markets General Economics Econometrics and Finance health care economics and organizations Finance |
| Zdroj: | Emerging Markets Finance and Trade. 56:1377-1401 |
| ISSN: | 1558-0938 1540-496X |
| DOI: | 10.1080/1540496x.2018.1562895 |
| Popis: | We find that 10 emerging stock markets have high risk of contagion on the regional level but lower spillover with respect to the global markets, implying a potential for diversification benefits between emerging and global markets. Regional market integration seems to have been caused by trade integration, which has a policy implication for trade agreements’ systemic risk effects. We find that the geopolitical risk has no impact on either the return, or volatility spillovers. However, the general stock market risk (VIX) is connected to individual market volatilities, while the oil market is largely receiving the spillovers from the other markets. peerReviewed |
| Databáze: | OpenAIRE |
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