Residual contagion in emerging markets: ‘herd’ and ‘alarm’ effects in informatization

Min Fang, Shenggang Yang and Yuliang Lei ()
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Min Fang: School of Finance and Statistics of Hunan University
Shenggang Yang: School of Finance and Statistics of Hunan University
Yuliang Lei: College of Information Science and Technology of Hunan Agricultural University

Electronic Commerce Research, 2021, vol. 21, issue 3, No 7, 787-807

Abstract: Abstract The present study investigates residual contagion of the recent two international crises under the dual functions of “herd effect” and “alarm effects in informatization, focusing on emerging markets. Both the impulse response method and dynamic conditional correlation MGARCH model are used to capture residual contagion from developed markets to emerging markets during the period 2000–2016. The results show that the level of volatility in emerging stock markets was greater than that of developed markets, such as the US and the EU, although they are less integrated with the world. Emerging stock markets are significantly subjected to residual contagion during the US subprime mortgage crisis and Europe’s protracted debt crisis. Moreover, the residual contagion effects of these two crises are noticeably heterogeneous in emerging markets.

Keywords: Emerging markets; Residual contagion; Informatization; DCC-MGARCH (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s10660-019-09350-x

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