Premium
The emerging market crisis and stock market linkages: further evidence
Author(s) -
Yang Jian,
Hsiao Cheng,
Li Qi,
Wang Zijun
Publication year - 2006
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.889
Subject(s) - financial crisis , economics , emerging markets , stock (firearms) , stock market , financial market , robustness (evolution) , monetary economics , financial economics , business , international economics , macroeconomics , finance , geography , biochemistry , context (archaeology) , chemistry , archaeology , gene
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.