6533b871fe1ef96bd12d1c10
RESEARCH PRODUCT
Emerging Market Contagion Under Geopolitical Uncertainty
Axel HedströmGazi Salah UddinJuha-pekka JunttilaNathalie Zelandersubject
Emerging stock markets050208 financespilloverkansainväliset markkinatarvopaperimarkkinat05 social sciencesDiversification (finance)International economicstaloudelliset kriisitGeopoliticsequity marketkehittyvät markkinatSpillover effectcontagionfinanssikriisitpoliittinen epävakaisuus0502 economics and businessEconomics050207 economicsEmerging marketsGeneral Economics Econometrics and Financehealth care economics and organizationsFinancedescription
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
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2019-02-27 | Emerging Markets Finance and Trade |