Empirical dynamics of emerging financial markets during the global mortgage crisis

Rahmi Erdem Aktug

Borsa Istanbul Review, 2015, vol. 15, issue 1, 17-36

Abstract: Focusing on five major emerging markets, I investigate the interactions between credit default swap premiums, foreign exchange rates, local currency government bond spreads, and national stock market returns over the period 4/2/2007 to 8/27/2009. Empirical analysis indicates that bond markets, along with foreign exchange markets, were very dominant in the price discovery process during a common distressed period.

Keywords: Price discovery; Emerging markets; Local currency government bond; Credit default swap; Stock market; Foreign exchange market (search for similar items in EconPapers)
JEL-codes: F30 F31 F36 G14 G15 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:bor:bistre:v:15:y:2015:i:1:p:17-36

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