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Emerging Market Contagion Under Geopolitical Uncertainty

Axel Hedström, Nathalie Zelander, Juha Junttila and Gazi Uddin ()

Emerging Markets Finance and Trade, 2020, vol. 56, issue 6, 1377-1401

Abstract: We find that 10 emerging stock markets have high risk of contagion on the regional level but lower spillover with respect to the global markets, implying a potential for diversification benefits between emerging and global markets. Regional market integration seems to have been caused by trade integration, which has a policy implication for trade agreements’ systemic risk effects. We find that the geopolitical risk has no impact on either the return, or volatility spillovers. However, the general stock market risk (VIX) is connected to individual market volatilities, while the oil market is largely receiving the spillovers from the other markets.

Date: 2020
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DOI: 10.1080/1540496X.2018.1562895

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Handle: RePEc:mes:emfitr:v:56:y:2020:i:6:p:1377-1401