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Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?

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  • Ahmad, Wasim
  • Sehgal, Sanjay
  • Bhanumurthy, N.R.

Abstract

This paper examines the financial contagion in an emerging market setting by investigating the contagion effects of GIPSI (Greece, Ireland, Portugal, Spain and Italy), USA, UK and Japan markets on BRIICKS (Brazil, Russia, India, Indonesia, China, South Korea and South Africa) stock markets. During Euro-zone crisis period (October 19, 2009–January 31, 2012), the empirical results indicate that among GIPSI countries, Ireland, Italy and Spain appear to be most contagious for BRIICKS markets compared to Greece. The study reports that Brazil, India, Russia, China and South Africa are strongly hit by the contagion shock during the Eurozone crisis period. However, Indonesia and South Korea report only interdependence and not contagion. From policy perspective, the findings provide useful implications for possible decoupling strategies to insulate the economy from contagious effects. For multilateral organizations like International Monetary Fund (IMF) and World Bank, the study will provide an important direction in undertaking coordinated rescue measures for the vulnerable as well as contagious countries.

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Bibliographic Info

Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 33 (2013)
Issue (Month): C ()
Pages: 209-225

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Handle: RePEc:eee:ecmode:v:33:y:2013:i:c:p:209-225

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Web page: http://www.elsevier.com/locate/inca/30411

Related research

Keywords: Emerging stock markets; Financial contagion; Dynamic conditional correlations (DCC–GARCH); Financial crisis; Eurozone crisis;

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References

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Cited by:
  1. Zhong, Ming & Chang,Tsangyao & Tzeng, Han-Wen, 2014. "International Equity Diversification Between the United States and Brics Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 123-138, March.
  2. Walid Mensi & Shawkat Hammoudeh & Juan Carlos Reboredo & Duc Khuong Nguyen, 2014. "Do global factors impact BRICS stock markets? A quantile regression approach," Working Papers 2014-159, Department of Research, Ipag Business School.

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