Testing for Contagion from Oil and Developed Markets to Emerging Markets: an Empirical Analysis Using Systemic Risk Parameter

• Autorzy: Edgardo Cayón , Julio Sarmiento
• Języki publikacji: EN

Abstrakty

EN

This paper analyses the volatility transmission from changes in prices in oil and developed stock markets to emerging markets. We test for volatility contagion from these two factors while allowing for interaction between them in order to account for diversification effects using the M-GARCH framework in a traditional two-factor market model. We find evidence that for all the periods under observation the covariance between developed markets and oil prices is negative. This negative covariance leads to a diversification effect, which lowers the impact of developed market prices on the systemic risk of emerging markets and gives support for the decoupling hypothesis concerning emerging market volatility during the beginning of the global financial crisis (GFC).(original abstract)

Słowa kluczowe

EN

Oil; Emerging markets; Systemic risk; Contagion effect

PL

Ropa naftowa; Rynki wschodzące; Ryzyko systemowe; Efekt zarażania

• Czasopismo: Journal of International Studies
• Rocznik: 2020
• Tom: 13
• Numer: nr 2
• Strony: 98--108

Twórcy

autor

Edgardo Cayón

• CESA Business School Colombia

autor

Julio Sarmiento

• Pontificia Universidad Javeriana, Colombia

Bibliografia

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Identyfikatory

DOI

10.14254/2071-8330.2020/13-2/7