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Interdependence and contagion in the period of crisis
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Zeitschriftentitel: | International Journal of Emerging Markets |
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Personen und Körperschaften: | , , , |
In: | International Journal of Emerging Markets, 14, 2019, 5, S. 1013-1031 |
Format: | E-Article |
Sprache: | Englisch |
veröffentlicht: |
Emerald
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Schlagwörter: |
author_facet |
Santos, Carolina Macagnani dos Gaio, Luiz Eduardo Pimenta Junior, Tabajara Cicconi, Eduardo Garbes Santos, Carolina Macagnani dos Gaio, Luiz Eduardo Pimenta Junior, Tabajara Cicconi, Eduardo Garbes |
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author |
Santos, Carolina Macagnani dos Gaio, Luiz Eduardo Pimenta Junior, Tabajara Cicconi, Eduardo Garbes |
spellingShingle |
Santos, Carolina Macagnani dos Gaio, Luiz Eduardo Pimenta Junior, Tabajara Cicconi, Eduardo Garbes International Journal of Emerging Markets Interdependence and contagion in the period of crisis General Medicine |
author_sort |
santos, carolina macagnani dos |
spelling |
Santos, Carolina Macagnani dos Gaio, Luiz Eduardo Pimenta Junior, Tabajara Cicconi, Eduardo Garbes 1746-8809 Emerald General Medicine http://dx.doi.org/10.1108/ijoem-05-2018-0216 <jats:sec> <jats:title content-type="abstract-subheading">Purpose</jats:title> <jats:p>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.</jats:p> </jats:sec> <jats:sec> <jats:title content-type="abstract-subheading">Design/methodology/approach</jats:title> <jats:p>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.</jats:p> </jats:sec> <jats:sec> <jats:title content-type="abstract-subheading">Findings</jats:title> <jats:p>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.</jats:p> </jats:sec> <jats:sec> <jats:title content-type="abstract-subheading">Originality/value</jats:title> <jats:p>This paper, besides analyzing the interdependence between markets in times of crisis, analyzes the effect of contagion between developed and emerging markets.</jats:p> </jats:sec> Interdependence and contagion in the period of crisis International Journal of Emerging Markets |
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10.1108/ijoem-05-2018-0216 |
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International Journal of Emerging Markets |
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title |
Interdependence and contagion in the period of crisis |
title_unstemmed |
Interdependence and contagion in the period of crisis |
title_full |
Interdependence and contagion in the period of crisis |
title_fullStr |
Interdependence and contagion in the period of crisis |
title_full_unstemmed |
Interdependence and contagion in the period of crisis |
title_short |
Interdependence and contagion in the period of crisis |
title_sort |
interdependence and contagion in the period of crisis |
topic |
General Medicine |
url |
http://dx.doi.org/10.1108/ijoem-05-2018-0216 |
publishDate |
2019 |
physical |
1013-1031 |
description |
<jats:sec>
<jats:title content-type="abstract-subheading">Purpose</jats:title>
<jats:p>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.</jats:p>
</jats:sec>
<jats:sec>
<jats:title content-type="abstract-subheading">Design/methodology/approach</jats:title>
<jats:p>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.</jats:p>
</jats:sec>
<jats:sec>
<jats:title content-type="abstract-subheading">Findings</jats:title>
<jats:p>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.</jats:p>
</jats:sec>
<jats:sec>
<jats:title content-type="abstract-subheading">Originality/value</jats:title>
<jats:p>This paper, besides analyzing the interdependence between markets in times of crisis, analyzes the effect of contagion between developed and emerging markets.</jats:p>
</jats:sec> |
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author | Santos, Carolina Macagnani dos, Gaio, Luiz Eduardo, Pimenta Junior, Tabajara, Cicconi, Eduardo Garbes |
author_facet | Santos, Carolina Macagnani dos, Gaio, Luiz Eduardo, Pimenta Junior, Tabajara, Cicconi, Eduardo Garbes, Santos, Carolina Macagnani dos, Gaio, Luiz Eduardo, Pimenta Junior, Tabajara, Cicconi, Eduardo Garbes |
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container_title | International Journal of Emerging Markets |
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description | <jats:sec> <jats:title content-type="abstract-subheading">Purpose</jats:title> <jats:p>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.</jats:p> </jats:sec> <jats:sec> <jats:title content-type="abstract-subheading">Design/methodology/approach</jats:title> <jats:p>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.</jats:p> </jats:sec> <jats:sec> <jats:title content-type="abstract-subheading">Findings</jats:title> <jats:p>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.</jats:p> </jats:sec> <jats:sec> <jats:title content-type="abstract-subheading">Originality/value</jats:title> <jats:p>This paper, besides analyzing the interdependence between markets in times of crisis, analyzes the effect of contagion between developed and emerging markets.</jats:p> </jats:sec> |
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spelling | Santos, Carolina Macagnani dos Gaio, Luiz Eduardo Pimenta Junior, Tabajara Cicconi, Eduardo Garbes 1746-8809 Emerald General Medicine http://dx.doi.org/10.1108/ijoem-05-2018-0216 <jats:sec> <jats:title content-type="abstract-subheading">Purpose</jats:title> <jats:p>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.</jats:p> </jats:sec> <jats:sec> <jats:title content-type="abstract-subheading">Design/methodology/approach</jats:title> <jats:p>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.</jats:p> </jats:sec> <jats:sec> <jats:title content-type="abstract-subheading">Findings</jats:title> <jats:p>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.</jats:p> </jats:sec> <jats:sec> <jats:title content-type="abstract-subheading">Originality/value</jats:title> <jats:p>This paper, besides analyzing the interdependence between markets in times of crisis, analyzes the effect of contagion between developed and emerging markets.</jats:p> </jats:sec> Interdependence and contagion in the period of crisis International Journal of Emerging Markets |
spellingShingle | Santos, Carolina Macagnani dos, Gaio, Luiz Eduardo, Pimenta Junior, Tabajara, Cicconi, Eduardo Garbes, International Journal of Emerging Markets, Interdependence and contagion in the period of crisis, General Medicine |
title | Interdependence and contagion in the period of crisis |
title_full | Interdependence and contagion in the period of crisis |
title_fullStr | Interdependence and contagion in the period of crisis |
title_full_unstemmed | Interdependence and contagion in the period of crisis |
title_short | Interdependence and contagion in the period of crisis |
title_sort | interdependence and contagion in the period of crisis |
title_unstemmed | Interdependence and contagion in the period of crisis |
topic | General Medicine |
url | http://dx.doi.org/10.1108/ijoem-05-2018-0216 |