Global financial crisis and emerging stock market contagion: A volatility impulse response function approach |
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Institution: | 1. Faculty of Finance and Banking, Shanxi University of Finance and Economics, Taiyuan, China;2. Department of Finance, Ocean University of China, Qingdao, Shandong, China;1. Department of Shipping, Trade and Transport, School of Business Studies, University of the Aegean, 2A Korai str., 82100 Chios, Greece;2. Audencia Nantes School of Management, 8, Route de la Joneliere, BP 31222, 44312 Nantes, France;3. Department of Finance and Accounting, University of Tunis El Manar, B.P. 248, C.P. 2092, Tunis Cedex, Tunisia |
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Abstract: | By employing the volatility impulse response (VIRF) approach, this paper presents a general framework for addressing the extent of contagion effects between the BRICSs’ and U.S. stock markets and how the BRICSs’ stock markets have been influenced in the context of the 2007–2009 global financial crisis. Our empirical results show during the period of 2007–2009 global financial crisis, there are significant contagion effects from the U.S. to the BRICSs’ stock markets. Yet, the degree of stock market reactions to such shocks differs from one market to another, depending on the level of integration with the international economy. Besides, the strengthened degree of stock market integration among the U.S. and BRICS has adverse effect such that if the 2007–2009 global financial crisis occurs today it may result in heavier impact on stock market volatility nowadays compared to the crisis-era. |
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Keywords: | Volatility impulse response function BRICSs’ emerging markets Financial crisis Contagion |
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