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Spillovers to Emerging Equity Markets: An Econometric Assessment

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Author Info

  • Tao Sun
  • L. Effie Psalida
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Abstract

This paper shows that emerging market equity prices are influenced by growing global factors, and therefore global factors constitute a significant channel for spillovers when the international economic environment changes. Strengthening their resilience to equity price declines remains an important goal for emerging market economies.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 09/111.

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Length: 32
Date of creation: 01 May 2009
Date of revision:
Handle: RePEc:imf:imfwpa:09/111

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Related research

Keywords: Emerging markets; Spillovers; Capital inflows; Economic models; Stock prices;

This paper has been announced in the following NEP Reports:

References

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  1. Heiko Hesse & Nathaniel Frank & Brenda González-Hermosillo, 2008. "Transmission of Liquidity Shocks: Evidence from the 2007 Subprime Crisis," IMF Working Papers 08/200, International Monetary Fund.
  2. Jiri Slacalek, 2006. "International Wealth Effects," Computing in Economics and Finance 2006 425, Society for Computational Economics.
  3. Tamim Bayoumi & Hali Edison, 2003. "Is Wealth Increasingly Driving Consuption?," DNB Staff Reports (discontinued) 101, Netherlands Central Bank.
  4. Jorge Roldos, 2007. "Pension Reform and Macroeconomic Stability in Latin America," IMF Working Papers 07/108, International Monetary Fund.
  5. Ratna Sahay & Gaston Gelos, 2000. "Financial Market Spillovers in Transition Economies," IMF Working Papers 00/71, International Monetary Fund.
  6. Funke, Norbert, 2004. "Is there a stock market wealth effect in emerging markets?," Economics Letters, Elsevier, vol. 83(3), pages 417-421, June.
  7. Henry, Peter Blair, 2000. "Do stock market liberalizations cause investment booms?," Journal of Financial Economics, Elsevier, vol. 58(1-2), pages 301-334.
  8. Catriona Purfield & Hiroko Oura & Charles Kramer & Andreas Jobst, 2008. "Asian equity markets: growth, opportunities, and challenges," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 1(2), pages 227-248.
  9. Jorge Roldos & Alexander W. Hoffmaister, 1996. "The Sources of Macroeconomic Fluctuations in Developing Countries: Brazil and Korea," IMF Working Papers 96/20, International Monetary Fund.
  10. Ghosh, Swati & Revilla, Ernesto, 2007. "Enhancing the efficiency of securities markets in East Asia," Policy Research Working Paper Series 4129, The World Bank.
  11. Ludwig, Alexander & Sløk, Torsten, 2004. "The relationship between stock prices, house prices and consumption in OECD," Sonderforschungsbereich 504 Publications 04-12, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
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Citations

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Cited by:
  1. Priscilla Liang & Thomas D. Willett & Nan Zhang, 2010. "The Slow Spread Of The Global Crisis," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 33-58.

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