Spillover effects from China and the US to global emerging markets: a dynamic analysis

Salifya Mpoha and Lumengo Bonga-Bonga

MPRA Paper from University Library of Munich, Germany

Abstract: The 2008/2009 Global Financial Crisis has accentuated the number of studies on contagion among researchers seeking to unravel the factors behind its impacts, effects and mechanisms. Several methodologies have been proposed to differentiate between contagion and other phenomenon related to the cross transmission of shocks. However, few studies distinguish between the sources of transmission of shocks and their effects on different emerging markets when analysing contagion phenomenon. This paper contributes to the literature by assessing dynamic spillover effects from two key markets (China and the U.S) to six major emerging economies from different regions making use of the wavelet analysis. The results support the presence of contagion during selected crisis periods and suggest variation in market response for each emerging market as well as shock source. The results of the paper show the heterogenous reactions of emerging markets from spillover shocks of different sources and provide useful insight to investors and asset managers seeking to diversify portfolios within the selected emerging markets as well as policy makers in establishing stronger regulations.

Keywords: Shift Contagion; Interdependence; Wavelet Analysis; Emerging Economies; China; U.S; Maximal Overlap Discrete Wavelet Transform (MODWT); Continuous Wavelet-Transform (CWT); Wavelet Coherence; Wavelet Correlation. (search for similar items in EconPapers)
JEL-codes: C13 C58 G15 (search for similar items in EconPapers)
Date: 2021-08-24
New Economics Papers: this item is included in nep-fdg and nep-isf
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/109349/1/MPRA_paper_109349.pdf original version (application/pdf)

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: https://EconPapers.repec.org/RePEc:pra:mprapa:109349

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().