Emerging Market Contagion Under Geopolitical Uncertainty

被引：23

作者：

Hedstrom, Axel ^{[1
]}

Zelander, Nathalie ^{[2
]}

Junttila, Juha ^{[3
]}

Uddin, Gazi Salah ^{[1
]}

机构：

[1] Linkoping Univ, Dept Management & Engn, Linkoping, Sweden

[2] Volkswagen Finans Sverige AB, Stockholm, Sweden

[3] Univ Jyvaskyla, Sch Business & Econ, Dept Econ, POB 35, FI-40014 Jyvaskyla, Finland

来源：

EMERGING MARKETS FINANCE AND TRADE | 2020年 / 56卷 / 06期

关键词：

contagion; equity market; financial crises; spillover; IMPULSE-RESPONSE ANALYSIS; VOLATILITY SPILLOVERS; STOCK; EQUITY; IMPACT; OIL; CURRENCY; SHOCKS; RETURN;

D O I：

10.1080/1540496X.2018.1562895

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：1377 / 1401

页数：25

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