Financial Spillovers to Emerging Markets during the Global Financial Crisis

Czech Journal of Economics and Finance (Finance a uver) 01/2009; 59(6):507-521. DOI: 10.5089/9781451872514.001
Source: RePEc

ABSTRACT Using data from the recent crisis, the authors analyze financial linkages between market liquidity and bank solvency measures in advanced economies and emerging market bond and stock markets. A multivariate generalized autoregressive conditional heteroskedasticity model is estimated to gauge the extent of co-movements of these financial variables across markets. The findings indicate that the notion of possible decoupling of financial markets had been misplaced. In fact, interlinkages between funding stress and equity markets in advanced economies and emerging market financial indicators were highly correlated, and have seen sharp increases during specific crisis moments.

  • Source
    [Show abstract] [Hide abstract]
    ABSTRACT: The main goal of this study is to investigate the asymmetric impact of innovations on volatility in the case of the US and three biggest emerging CEEC–3 markets, using univariate EGARCH approach. We compare empirical results for both the whole sample from Jan 3, 2007 to Dec 30, 2011, and two equal subsamples: the ‘down market’ period, and the ‘up market’ period. Pronounced negative asymmetry effects are presented in the case of all markets, and are especially strong in the ‘down market’ period, which is closely connected with the 2007 US subprime crisis period.
    Dynamic Econometric Models. 12/2013; 13:33-50.
  • Source
    [Show abstract] [Hide abstract]
    ABSTRACT: In this article, we test the hypothesis of contagion amongst sectors within the United States’ economy during the subprime crisis. The econometric methodology applied here is based on the dynamic conditional correlation model proposed by Engle (2002). Further, we applied several Lagrange multiplier (LM)-robust tests to test whether there were structural breaks in series’ dependency structures during the period of interest. Events theoretically classified as relevant to the crisis upshots as well as the interactions between the moments of the series were used as indicator functions to the referred structural breaks. The main conclusion of this study is that one can indeed observe contagion within almost all pairs of sectors’ indices. Thus, we conclude that the dependency structure of the sectors of interest has faced structural changes during the years of 2007 and 2008. Hence, diversification strategies as well as the risk analysis inherent to the portfolios’ management may have been drastically affected.
    Applied Economics 09/2013; 45(36):5031-5045. · 0.46 Impact Factor
  • Source
    [Show abstract] [Hide abstract]
    ABSTRACT: Clustering financial time series is a recent topic of statistical literature with important fields of applications, in particular portfolio composition and risk evaluation. The risk is generally linked to the volatility of the asset, but its level of predictability also plays a basic role in investment decisions. In particular, the classification of a certain asset could be linked to its dependence on the volatility of a dominant market: movements in the volatility of the dominant market can provide similar movements in the volatility of the asset and its predictability would depend on the strength of this dependence. Working in a model based framework, we base the classification of the volatility of an asset not only on its volatility level, but also on the presence of spillover effects from a dominant market, such as the U.S. one, and on the similarity of the dynamics of the asset and the dominant market. The method is carried out using an extended version of the Multiplicative Error Model and is applied to a set of European assets.

Full-text (2 Sources)