Measuring the Contagion Effect in Emerging Markets

Igor Alexandre Clemente de Morais, Guilherme Ribeiro de Macêdo, Marcia Regina Godoy and Leonardo Berteli Piveta

Chapter 6 in Handbook of Global Financial Markets:Transformations, Dependence, and Risk Spillovers, 2019, pp 149-164 from World Scientific Publishing Co. Pte. Ltd.

Abstract: This chapter investigates the existence of contagion in the stock market in emerging countries considering the impact of the subprime crisis in Latin America and Central and Eastern Europe. Eleven indices of stock exchanges using deterministic models GARCH and stochastic volatility, both univariate and multivariate are evaluated. The results indicated the presence of financial integration between countries and further suggest that the crisis intensified these relationships. In addition, several features common to financial series, such as the leverage effect, clustering volatility and persistence were identified.

Keywords: Market Integration; Risk Management; Risk Assessment; Financial Uncertainty; Volatility; Financial Markets; Financial Development; Country Risks; Sovereign Debt Markets (search for similar items in EconPapers)
JEL-codes: F37 (search for similar items in EconPapers)
Date: 2019
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