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Empirical dynamics of emerging financial markets during the global mortgage crisis

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  • Rahmi Erdem Aktug

Abstract

Focusing on five major emerging markets, I investigate the interactions between credit default swap premiums, foreign exchange rates, local currency government bond spreads, and national stock market returns over the period 4/2/2007 to 8/27/2009. Empirical analysis indicates that bond markets, along with foreign exchange markets, were very dominant in the price discovery process during a common distressed period.

Suggested Citation

  • Rahmi Erdem Aktug, 2015. "Empirical dynamics of emerging financial markets during the global mortgage crisis," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 15(1), pages 17-36, March.
  • Handle: RePEc:bor:bistre:v:15:y:2015:i:1:p:17-36
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    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Price discovery; Emerging markets; Local currency government bond; Credit default swap; Stock market; Foreign exchange market;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F30 - International Economics - - International Finance - - - General
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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