Emerging Market Contagion Under Geopolitical Uncertainty
Hedström, A., Zelander, N., Junttila, J.-P., & Uddin, G. S. (2020). Emerging Market Contagion Under Geopolitical Uncertainty. Emerging Markets Finance and Trade, 56(6), 1377-1401. https://doi.org/10.1080/1540496X.2018.1562895
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Emerging Markets Finance and TradeDate
2020Copyright
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We find that 10 emerging stock markets have high risk of contagion on the regional level but lower spillover with respect to the global markets, implying a potential for diversification benefits between emerging and global markets. Regional market integration seems to have been caused by trade integration, which has a policy implication for trade agreements’ systemic risk effects. We find that the geopolitical risk has no impact on either the return, or volatility spillovers. However, the general stock market risk (VIX) is connected to individual market volatilities, while the oil market is largely receiving the spillovers from the other markets.
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Gazi Salah Uddin is thankful for the financial support provided by the Jan Wallander and Tom Hedelius Foundations and Simon Foundation for travel grant.License
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