Residual contagion in emerging markets: ‘herd’ and ‘alarm’ effects in informatization
作者:
Fang, Min;Yang, Shenggang;Lei, Yuliang*
期刊:
Electronic Commerce Research,2021年21(3):787-807 ISSN:1389-5753
通讯作者:
Lei, Yuliang
作者机构:
[Yang, Shenggang; Fang, Min] Hunan Univ, Sch Finance & Stat, Changsha 410011, Peoples R China.;[Lei, Yuliang] Hunan Agr Univ, Coll Informat Sci & Technol, Changsha 410128, Peoples R China.
通讯机构:
[Lei, Yuliang] H;Hunan Agr Univ, Coll Informat Sci & Technol, Changsha 410128, Peoples R China.
关键词:
Emerging markets;Residual contagion;Informatization;DCC-MGARCH
摘要:
The present study investigates residual contagion of the recent two international crises under the dual functions of “herd effect” and “alarm effects in informatization, focusing on emerging markets. Both the impulse response method and dynamic conditional correlation MGARCH model are used to capture residual contagion from developed markets to emerging markets during the period 2000–2016. The results show that the level of volatility in emerging stock markets was greater than that of developed markets, such as the US and the EU, although they are less integrated with the world. Emerging stock markets are significantly subjected to residual contagion during the US subprime mortgage crisis and Europe’s protracted debt crisis. Moreover, the residual contagion effects of these two crises are noticeably heterogeneous in emerging markets. © 2019, The Author(s).
语种:
英文
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