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The emerging market crisis and stock market linkages: further evidence

Cheng Hsiao, Zijun Wang, Jian Yang () and Qi Li
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Zijun Wang: Private Enterprise Research Center, Texas A&M University, College Station, Texas, USA, Postal: Private Enterprise Research Center, Texas A&M University, College Station, Texas, USA

Journal of Applied Econometrics, 2006, vol. 21, issue 6, 727-744

Abstract: This study examines the long-run price relationship and the dynamic price transmission among the USA, Germany, and four major Eastern European emerging stock markets, with particular attention to the impact of the 1998 Russian financial crisis. The results show that both the long-run price relationship and the dynamic price transmission were strengthened among these markets after the crisis. The influence of Germany became noticeable on all the Eastern European markets only after the crisis but not before the crisis. We also conduct a rolling generalized VAR analysis to confirm the robustness of the main findings. Copyright © 2006 John Wiley & Sons, Ltd.

Date: 2006
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DOI: 10.1002/jae.889

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