Economics at your fingertips  

Information linkages among emerging equity markets—an empirical study

Sanjay Sehgal () and Payal Jain ()
Additional contact information
Sanjay Sehgal: University of Delhi
Payal Jain: University of Delhi

DECISION: Official Journal of the Indian Institute of Management Calcutta, 2017, vol. 44, issue 1, 15-38

Abstract: Abstract In this paper, we examine the price discovery and volatility spillovers among equity markets of eight emerging market economies (EMEs)—Brazil, China, India, Indonesia, Mexico, Russia, South Africa and Turkey—from January 2003 to July 2014, covering the 2007–2009 global financial crisis (GFC). The analysis is conducted for pre-crisis, crisis and post-crisis periods. The results of price discovery indicate that Brazil leads in pre-crisis period while South Africa leads during crisis period. No single market is dominant in the post-crisis period and across the full sample period as well. Dynamic cointegration test largely confirms the findings from the static Johansen’s cointegration test. Employing asymmetric dynamic conditional correlation and BEKK-GARCH models, we find that volatility spillovers reduced among the sample markets over time. The empirical results suggest that the information linkages among the sample EMEs’ equity markets weakened during the GFC and did not revert to stable period levels after the crisis. The findings have implications for policy makers and investors.

Keywords: Emerging equity markets; Multivariate GARCH; Price discovery; Volatility spillover (search for similar items in EconPapers)
JEL-codes: G15 C22 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link) Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

Access Statistics for this article

DECISION: Official Journal of the Indian Institute of Management Calcutta is currently edited by Rajesh Babu

More articles in DECISION: Official Journal of the Indian Institute of Management Calcutta from Springer, Indian Institute of Management Calcutta
Series data maintained by Sonal Shukla ().

Page updated 2018-02-24
Handle: RePEc:spr:decisn:v:44:y:2017:i:1:d:10.1007_s40622-016-0144-2