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 U.S., 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.
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Bibliographic InfoPaper provided by Institute of Economic Policy Research (IEPR) in its series IEPR Working Papers with number 05.27.
Length: 33 pages
Date of creation: Jul 2005
Date of revision:
market linkages; emerging stock markets; generalized impulse response analysis; generalized forecast error variance decomposition; rolling VAR analysis;
Other versions of this item:
- Cheng Hsiao & Zijun Wang & Jian Yang & Qi Li, 2006. "The emerging market crisis and stock market linkages: further evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 727-744.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-10-29 (All new papers)
- NEP-ETS-2005-10-29 (Econometric Time Series)
- NEP-FIN-2005-10-29 (Finance)
- NEP-FMK-2005-10-29 (Financial Markets)
- NEP-TRA-2005-10-29 (Transition Economics)
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