Title
Stock market interdependence, contagion, and the U.S. financial crisis: The case of emerging and frontier markets
Department/School
Finance
Date of this version
2011
Document Type
Article
Keywords
Interdependence; Contagion; U.S. financial crisis; Emerging markets; Shock models
Abstract
This paper examines transmission of shocks between the U.S. and foreign markets to delineate interdependence from contagion of the U.S. financial crisis by constructing shock models for partially-overlapping and non-overlapping markets. There exists important bi-directional, yet asymmetric, interdependence and contagion in emerging markets, with important regional variations. Interdependence is driven more by U.S. shocks, while contagion is driven more by emerging market shocks. Frontier markets also exhibit interdependence and contagion to U.S. shocks. Except for Latin America, there is no contagion from U.S. to emerging markets. But there is contagion from emerging markets to the U.S.
Volume
21
Published in
Journal of International Financial Markets, Institutions, and Money
Citation/Other Information
Vol 21 (2011) pg 724-742