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Measuring the Contagion Effect in Emerging Markets

In: HANDBOOK OF GLOBAL FINANCIAL MARKETS Transformations, Dependence, and Risk Spillovers

Author

Listed:
  • Igor Alexandre Clemente de Morais
  • Guilherme Ribeiro de Macêdo
  • Marcia Regina Godoy
  • Leonardo Berteli Piveta

Abstract

This chapter investigates the existence of contagion in the stock market in emerging countries considering the impact of the subprime crisis in Latin America and Central and Eastern Europe. Eleven indices of stock exchanges using deterministic models GARCH and stochastic volatility, both univariate and multivariate are evaluated. The results indicated the presence of financial integration between countries and further suggest that the crisis intensified these relationships. In addition, several features common to financial series, such as the leverage effect, clustering volatility and persistence were identified.

Suggested Citation

  • Igor Alexandre Clemente de Morais & Guilherme Ribeiro de Macêdo & Marcia Regina Godoy & Leonardo Berteli Piveta, 2019. "Measuring the Contagion Effect in Emerging Markets," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), HANDBOOK OF GLOBAL FINANCIAL MARKETS Transformations, Dependence, and Risk Spillovers, chapter 6, pages 149-164, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789813236653_0006
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    More about this item

    Keywords

    Market Integration; Risk Management; Risk Assessment; Financial Uncertainty; Volatility; Financial Markets; Financial Development; Country Risks; Sovereign Debt Markets;
    All these keywords.

    JEL classification:

    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications

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