Financial spillovers from the US financial markets to the emerging markets during the subprime crisis: the example of Indian equity markets

Gilles Dufrénot (), Benjamin Keddad () and Alain Sand-Zantman ()
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Alain Sand-Zantman: Observatoire Français des Conjonctures Économiques, Postal: 69, Quai d'Orsay, Paris 75007, France, http://www.ofce.sciences-po.fr

No 2010-34, Documents de Travail de l'OFCE from Observatoire Francais des Conjonctures Economiques (OFCE)

Abstract: This paper provides evidence of spillover effects from the Indian to the US financial markets. We use VAR and Kalman filter analysis to assess the influence of financial stress indicators like the LIBOR-OIS, CDS, the S&P 500 volatility and the exchange rate of the rupee against the Dollar on two indicators of financial stress in India, namely the illiquidity of stock indices and their volatility. We conduct an analysis bases on both daily and monthly frequency and use a database that consists of both aggregate and disaggregated indexes. Our results points to a signification contagion effect after the period following the Lehman Brothers collapse.

Keywords: Subprime crisis; Emerging Markets; VAR analysis; financial stress (search for similar items in EconPapers)
JEL-codes: F37 G15 O53 (search for similar items in EconPapers)
Date: 2010-11
New Economics Papers: this item is included in nep-ifn and nep-rmg
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Working Paper: Financial spillovers from the US financial markets to the emerging markets during the subprime crisis: the example of Indian equity markets (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:fce:doctra:1034

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