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Comparing Spillover Effects Among Emerging Markets With A Higher (Lower) Share Of Commodity Exports: Evidence From The Two Major Crises

Author

Listed:
  • Murad A. BEIN

    () (Department of Accounting and Finance, Faculty of Economics and Administrative Sciences, Cyprus International University Lefkosa, North Cyprus, Turkey)

  • Gulcay TUNA

    () (Department of Economics, Faculty of Business and Economics Eastern Mediterranean University Famagusta, Turkey)

Abstract

The paper empirically analyses the spillover into emerging markets with a higher (lower) share of commodity exports during the Global Financial Crisis (GFC) and the European Sovereign Debt Crisis (ESDC). To investigate such spillover effects, a group of rapidly growing emerging economies collectively known as BRICS (Brazil, Russia, India, China, and South Africa) is selected. The findings of the paper are as follows. First, a substantial increase in the average conditional correlation is noticed within all BRICS stock markets during the GFC. When considering the ESDC period, we also observed an increase in all markets, except for Brazil. Furthermore, the dynamic evaluation significantly increased from 2007 and it remained high during the ESDC. Second, trade profiles can help in explaining the spillover and correlation levels between emerging and developed markets. Among the BRICS countries, Brazil, Russia and South Africa heavily depend on commodity exports and the results show that these economies have a higher correlation with the developed economies. Further, Brazil and Russia are the most volatile when compared to the other BRICS countries, since these countries’ commodities are dominated by food and agricultural exports and fuel and agricultural exports, respectively.

Suggested Citation

  • Murad A. BEIN & Gulcay TUNA, 2016. "Comparing Spillover Effects Among Emerging Markets With A Higher (Lower) Share Of Commodity Exports: Evidence From The Two Major Crises," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(3), pages 265-284.
  • Handle: RePEc:cys:ecocyb:v:50:y:2016:i:3:p:265-284
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    References listed on IDEAS

    as
    1. Dimitriou, Dimitrios & Kenourgios, Dimitris & Simos, Theodore, 2013. "Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 46-56.
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    4. Chiang, Thomas C. & Jeon, Bang Nam & Li, Huimin, 2007. "Dynamic correlation analysis of financial contagion: Evidence from Asian markets," Journal of International Money and Finance, Elsevier, vol. 26(7), pages 1206-1228, November.
    5. Murad A.Bein & Gulcay TUNA, 2015. "Volatility Transmission and Dynamic Correlation Analysis between Developed and Emerging European Stock Markets during Sovereign Debt Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 61-80, June.
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    More about this item

    Keywords

    Commodity exports; stock market co-movements; volatility transmission; DCC-GARCH; Crisis.;

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F30 - International Economics - - International Finance - - - General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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