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Stock market interdependence, contagion, and the U.S. financial crisis: The case of emerging and frontier markets

Listed author(s):
  • Samarakoon, Lalith P.
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    This paper examines transmission of shocks between the U.S. and foreign markets to delineate interdependence from contagion of the U.S. financial crisis by constructing shock models for partially overlapping and non-overlapping markets. There exists important bi-directional, yet asymmetric, interdependence and contagion in emerging markets, with important regional variations. Interdependence is driven more by U.S. shocks, while contagion is driven more by emerging market shocks. Frontier markets also exhibit interdependence and contagion to U.S. shocks. Except for Latin America, there is no contagion from U.S. to emerging markets. But there is contagion from emerging markets to the U.S.

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    File URL: http://www.sciencedirect.com/science/article/pii/S1042443111000242
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    Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

    Volume (Year): 21 (2011)
    Issue (Month): 5 ()
    Pages: 724-742

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    Handle: RePEc:eee:intfin:v:21:y:2011:i:5:p:724-742
    DOI: 10.1016/j.intfin.2011.05.001
    Contact details of provider: Web page: http://www.elsevier.com/locate/intfin

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