Please use this identifier to cite or link to this item: https://ir.iimcal.ac.in:8443/jspui/handle/123456789/3197
Title: Information linkages among emerging equity markets—an empirical study
Authors: Sehgal, Sanjay
Jain, Payal
Keywords: Emerging equity markets
Multivariate GARCH
Price discovery
Volatility spillover
Issue Date: Mar-2017
Publisher: Indian Institute of Management Calcutta, Kolkata
Series/Report no.: Vol.44;No.1
Abstract: In this paper, we examine the price discovery and volatility spillovers among equity markets of eight emerging market economies (EMEs)—Brazil, China, India, Indonesia, Mexico, Russia, South Africa and Turkey—from January 2003 to July 2014, covering the 2007–2009 global financial crisis (GFC). The analysis is conducted for pre-crisis, crisis and post-crisis periods. The results of price discovery indicate that Brazil leads in pre-crisis period while South Africa leads during crisis period. No single market is dominant in the post-crisis period and across the full sample period as well. Dynamic cointegration test largely confirms the findings from the static Johansen’s cointegration test. Employing asymmetric dynamic conditional correlation and BEKK-GARCH models, we find that volatility spillovers reduced among the sample markets over time. The empirical results suggest that the information linkages among the sample EMEs’ equity markets weakened during the GFC and did not revert to stable period levels after the crisis. The findings have implications for policy makers and investors.
Description: Sanjay Sehgal & Payal Jain, Department of Financial Studies, University of Delhi, South Campus, Benito Juarez Road, New Delhi, 110 021, India
p.15-38
Issue Editor – R. Rajesh Babu
URI: https://doi.org/10.1007/s40622-016-0144-2
https://ir.iimcal.ac.in:8443/jspui/handle/123456789/3197
ISSN: 0304-0941 (print version) ; 2197-1722 (electronic version)
Appears in Collections:Issue 1, March 2017

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