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The emerging market crisis and stock market linkages: further evidence

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  • Cheng Hsiao

    (Department of Economics, University of Southern California, Los Angeles, California, USA; and Hong Kong University of Science and Technology, Hong Kong)

  • Zijun Wang

    (Private Enterprise Research Center, Texas A&M University, College Station, Texas, USA)

  • Jian Yang

    (Department of Accounting, Finance & MIS, Prairie View A&M University, Prairie View, Texas, USA)

  • Qi Li

    (Department of Economics, Texas A&M University, College Station, Texas, USA)

Abstract

This study examines the long-run price relationship and the dynamic price transmission among the USA, Germany, and four major Eastern European emerging stock markets, with particular attention to the impact of the 1998 Russian financial crisis. The results show that both the long-run price relationship and the dynamic price transmission were strengthened among these markets after the crisis. The influence of Germany became noticeable on all the Eastern European markets only after the crisis but not before the crisis. We also conduct a rolling generalized VAR analysis to confirm the robustness of the main findings. Copyright © 2006 John Wiley & Sons, Ltd.

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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 21 (2006)
Issue (Month): 6 ()
Pages: 727-744

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Handle: RePEc:jae:japmet:v:21:y:2006:i:6:p:727-744

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  1. François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, 04.
  2. Bessler, David A. & Yang, Jian, 2003. "The structure of interdependence in international stock markets," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 261-287, April.
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  6. King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994. "Volatility and Links between National Stock Markets," Econometrica, Econometric Society, vol. 62(4), pages 901-33, July.
  7. Rockinger, Michael & Urga, Giovanni, 2000. "The Evolution of Stock Markets in Transition Economies," Journal of Comparative Economics, Elsevier, vol. 28(3), pages 456-472, September.
  8. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  9. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
  10. Yin-Wong Cheung & Kon S. Lai & Michael Bergman, 2003. "Dissecting the PPP Puzzle: The Unconventional Roles of Nominal Exchange Rate and Price Adjustment," CESifo Working Paper Series 924, CESifo Group Munich.
  11. Masih, Abul M. M. & Masih, Rumi, 1997. "Dynamic linkages and the propagation mechanism driving major international stock markets: An analysis of the pre- and post-crash eras," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(4), pages 859-885.
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Cited by:
  1. Francisca Pérez, 2013. "Are International Market Linkages Stronger? Comparison between 1990s and 2000s," Working Papers Central Bank of Chile 687, Central Bank of Chile.
  2. Hui, Eddie C.M. & Chen, Jia, 2012. "Investigating the change of causality in emerging property markets during the financial tsunami," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(15), pages 3951-3962.
  3. Andreou, Elena & Matsi, Maria & Savvides, Andreas, 2013. "Stock and foreign exchange market linkages in emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 248-268.
  4. Kunlin Hsieh & Yuching Hsieh & Shigeyuki Hamori, 2010. "The Interdependence of Taiwanese and Japanese Stock Prices," Economics Bulletin, AccessEcon, vol. 30(1), pages 879-892.
  5. Numan Ülkü, 2011. "Modeling Comovement among Emerging Stock Markets: The Case of Budapest and Istanbul," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(3), pages 277-304, July.
  6. Nistor, Costel & Stefanescu, Razvan & Dumitriu, Ramona, 2009. "The impact of the US stock market on the Romanian stock market in the context of the financial crisis," MPRA Paper 36862, University Library of Munich, Germany, revised 22 Feb 2012.
  7. Yang, Lixiong & Lee, Chingnun & Shie, Fu Shuen, 2014. "How close a relationship does a capital market have with other markets? A reexamination based on the equal variance test," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 198-226.
  8. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-mean Analysis," CESifo Working Paper Series 2794, CESifo Group Munich.
  9. Guidi, Francesco & Gupta, Rakesh, 2010. "Cointegration and conditional correlations among German and Eastern Europe equity markets," MPRA Paper 21732, University Library of Munich, Germany.
  10. Rousova, Linda, 2009. "Are the Central European Stock Markets Still Different? A Cointegration Analysis," Discussion Papers in Economics 10993, University of Munich, Department of Economics.
  11. Li, Hong & Majerowska, Ewa, 2008. "Testing stock market linkages for Poland and Hungary: A multivariate GARCH approach," Research in International Business and Finance, Elsevier, vol. 22(3), pages 247-266, September.

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