The emerging market crisis and stock market linkages: Further evidence Academic Article

abstract

• This study examines the long-run price relationship and the dynamic price transmission among the USA, Germany, and four major Eastern European emerging stock markets, with particular attention to the impact of the 1998 Russian financial crisis. The results show that both the long-run price relationship and the dynamic price transmission were strengthened among these markets after the crisis. The influence of Germany became noticeable on all the Eastern European markets only after the crisis but not before the crisis. We also conduct a rolling generalized VAR analysis to confirm the robustness of the main findings. Copyright 2006 John Wiley & Sons, Ltd.

authors

• Li, Qi

published proceedings

• JOURNAL OF APPLIED ECONOMETRICS

author list (cited authors)

• Yang, J., Hsiao, C., Li, Q. i., & Wang, Z.

citation count

• 78

complete list of authors

• Yang, Jian||Hsiao, Cheng||Li, Qi||Wang, Zijun

publication date

• January 2006

publisher

• Wiley  Publisher

published in

• Journal of applied econometrics  Journal

keywords

• Emerging Stock Markets
• Generalized Forecast Error Variance Decomposition
• Generalized Impulse Response Analysis
• Market Linkages
• Rolling Var Analysis

Digital Object Identifier (DOI)

• 10.1002/jae.889

start page

• 727

end page

• 744

volume

• 21

issue

• 6

URL

• http://dx.doi.org/10.1002/jae.889