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Interdependence and contagion in the period of crisis
International Journal of Emerging Markets ( IF 2.7 ) Pub Date : 2019-12-02 , DOI: 10.1108/ijoem-05-2018-0216
Carolina Macagnani dos Santos , Luiz Eduardo Gaio , Tabajara Pimenta Junior , Eduardo Garbes Cicconi

The purpose of this paper is to investigate whether the relationship of interdependence and contagion between BRICS countries and emerging non-BRICS countries is similar to that observed between developed countries and emerging BRICS countries.,The authors analyzed 15 markets: 5 BRICS, 5 developed (USA, Japan, Germany, England and France) and 5 emerging markets (Mexico, Indonesia, Turkey, Iran and Poland). Based on the time series of returns of the main stock indexes of each country, referring to the period from 2008 to 2018, the authors applied Granger causality tests, vector auto-regression and the dynamic conditional correlation-GARCH model.,The results led to the rejection of the main hypothesis and showed adherence to the behaviors predicted in the literature for the relations between the groups of markets.,This paper, besides analyzing the interdependence between markets in times of crisis, analyzes the effect of contagion between developed and emerging markets.

中文翻译:

危机时期的相互依存与传染

本文的目的是考察金砖国家与新兴非金砖国家之间的相互依存和传染关系是否类似于发达国家与新兴金砖国家之间的关系。作者分析了15个市场:5个金砖国家,5个发达国家(美国、日本、德国、英国和法国)和 5 个新兴市场(墨西哥、印度尼西亚、土耳其、伊朗和波兰)。作者基于各国主要股指收益率的时间序列,参考2008年至2018年期间,应用格兰杰因果检验、向量自回归和动态条件相关-GARCH模型,得到了拒绝主要假设并表现出对文献中预测的市场组之间关系的行为的坚持。,本文,
更新日期:2019-12-02
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