The transmission of emerging market shocks to global equity markets

Lucía Cuadro-Sáez, Marcel Fratzscher and Christian Thimann
Authors registered in the RePEc Author Service: Lucía Cuadro Sáez

Journal of Empirical Finance, 2009, vol. 16, issue 1, 2-17

Abstract: The paper analyzes whether, and to what extent, emerging market economies (EMEs) have systemic importance for global financial markets, above and beyond their influence during crises episodes. Using a novel database of exogenous economic and political shocks for 14 systematically relevant EMEs, we find that EME shocks not only have a statistically but also economically significant impact on global equity markets. The economic significance of EME shocks is in particular underlined by their remarkably persistent effects over time. Importantly, EMEs are found to influence global equity markets about just as much in "good" times as in "bad" times, though they tend to be stronger during crises or periods of financial turbulence. Finally, we detect a large degree of heterogeneity in the transmission of EME shocks to individual countries' equity markets, stressing the different degrees of financial exposure, which is relatively higher for European equity markets.

Keywords: Global; financial; markets; Transmission; Financial; integration; Shocks; News; Emerging; market; economies; Mature; economics; Euro; area; United; States (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

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Related works:
Working Paper: The transmission of emerging market shocks to global equity markets (2007)
Working Paper: The transmission of emerging market shocks to global equity markets (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:16:y:2009:i:1:p:2-17

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