Journal article
Conditional transmission of global shocks to emerging stock markets: evidence from the quantile connectedness network analysis
Applied economics, v 54(31), pp 3621-3634
03 Jul 2022
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
The novel quantile connectedness network method is used to investigate the vulnerability of emerging stock markets to global shocks in the normal, bear and bull markets. The size of the system-wide shock for an emerging market is doubled, while its own shock is halved in the bear and bull markets relative to the normal market and vice versa. As the size of the systemic shock increases in the bear and bull markets, which leads to an increase in the bilateral shock for emerging markets. Although the dollar index emerged as a risk factor only in the normal market, oil is not a risk factor for the emerging market bloc, irrespective of the state of the market. However, the US stock market is a major risk factor for emerging markets in all kinds of market conditions, although the degree of the shock spillover is more pronounced in the normal market than in the bear and bull markets. The robustness of the vulnerability is verified in a time-varying framework. Policy implications are also discussed.
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Details
- Title
- Conditional transmission of global shocks to emerging stock markets: evidence from the quantile connectedness network analysis
- Creators
- Aviral Kumar Tiwari - Indian Institute of Management AhmedabadSangram Keshari Jena - International Management InstituteNader Trabelsi - Islamic UniversityShawkat Hammoudeh - Drexel University
- Publication Details
- Applied economics, v 54(31), pp 3621-3634
- Publisher
- Routledge
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000739134200001
- Scopus ID
- 2-s2.0-85122323949
- Other Identifier
- 991019167750004721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Economics