The emerging market crisis and stock market linkages: further evidence
AbstractThis 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 InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.
Volume (Year): 21 (2006)
Issue (Month): 6 ()
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Web page: http://www.interscience.wiley.com/jpages/0883-7252/
Other versions of this item:
- Jian Yang & Cheng Hsiao & Qi Li & Zijun Wang, 2005. "The Emerging Market Crisis and Stock Market Linkages: Further Evidence," IEPR Working Papers 05.27, Institute of Economic Policy Research (IEPR).
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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