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The emerging market crisis and stock market linkages: further evidence

Author

Listed:
  • Cheng Hsiao

    (Department of Economics, University of Southern California, Los Angeles, California, USA; and Hong Kong University of Science and Technology, Hong Kong)

  • Zijun Wang

    (Private Enterprise Research Center, Texas A&M University, College Station, Texas, USA)

  • Jian Yang

    (Department of Accounting, Finance & MIS, Prairie View A&M University, Prairie View, Texas, USA)

  • Qi Li

    (Department of Economics, Texas A&M University, College Station, Texas, USA)

Abstract

This study examines the long-run price relationship and the dynamic price transmission among the USA, 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. Copyright © 2006 John Wiley & Sons, Ltd.

Suggested Citation

  • 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.
    • Handle: RePEc:jae:japmet:v:21:y:2006:i:6:p:727-744
    DOI: 10.1002/jae.889
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    More about this item

    JEL classification:

    • 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; State Space Models

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