A1 Journal article (refereed)
Emerging Market Contagion Under Geopolitical Uncertainty (2020)


Hedström, A., Zelander, N., Junttila, J.-P., & Uddin, G. S. (2020). Emerging Market Contagion Under Geopolitical Uncertainty. Emerging Markets Finance and Trade, 56 (6), 1377-1401. doi:10.1080/1540496X.2018.1562895


JYU authors or editors


Publication details

All authors or editors: Hedström, Axel; Zelander, Nathalie; Junttila, Juha-Pekka; Uddin, Gazi Salah

Journal or series: Emerging Markets Finance and Trade

ISSN: 1540-496X

eISSN: 1558-0938

Publication year: 2020

Volume: 56

Issue number: 6

Pages range: 1377-1401

Publisher: Routledge

Publication country: United States

Publication language: English

DOI: http://doi.org/10.1080/1540496X.2018.1562895

Open Access: Publication channel is not openly available


Abstract

We find that 10 emerging stock markets have high risk of contagion on the regional level but lower spillover with respect to the global markets, implying a potential for diversification benefits between emerging and global markets. Regional market integration seems to have been caused by trade integration, which has a policy implication for trade agreements’ systemic risk effects. We find that the geopolitical risk has no impact on either the return, or volatility spillovers. However, the general stock market risk (VIX) is connected to individual market volatilities, while the oil market is largely receiving the spillovers from the other markets.


Keywords: emerging markets; security market; political instability; economic crises; international market; financial crises

Free keywords: contagion; equity market; spillover


Contributing organizations


Ministry reporting: Yes

Reporting Year: 2020

Preliminary JUFO rating: 1


Last updated on 2020-18-10 at 21:06