2014
DOI: 10.1016/j.irfa.2013.07.007
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Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets

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Cited by 166 publications
(91 citation statements)
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“…During the last decades, several studies in empirical finance and financial economics have focused on the analysis of volatility transmission between emerging markets with regard to the increase in their degree of financial integration after their liberalization process (Gilenko and Fedorova, 2014;Bekiros, 2013;Bensafta and Samedo, 2011;Kearney, 2000;Leachman and Francis, 1996;Karolyi, 1995;Hamao et al, 1990). By reviewing the financial literature, we can remark that several methods were applied to investigate the interdependencies between financial markets in terms of volatility.…”
Section: Literature Reviewmentioning
confidence: 99%
“…During the last decades, several studies in empirical finance and financial economics have focused on the analysis of volatility transmission between emerging markets with regard to the increase in their degree of financial integration after their liberalization process (Gilenko and Fedorova, 2014;Bekiros, 2013;Bensafta and Samedo, 2011;Kearney, 2000;Leachman and Francis, 1996;Karolyi, 1995;Hamao et al, 1990). By reviewing the financial literature, we can remark that several methods were applied to investigate the interdependencies between financial markets in terms of volatility.…”
Section: Literature Reviewmentioning
confidence: 99%
“…While other studies have assessed contagion between BRICS and other developed economics (Nikkinen, et al, 2013;Berikos, 2014;Morales and Gassie, 2011;Sheu and Liao, 2011), to the best of our knowledge there is no study that assesses contagion within BRICS countries, especially since the time of South Africa's inclusion in the BRICS grouping. The finding of this paper should inform policy makers in BRICS countries on the benefit that each member can derive from further liberalizing its capital markets.…”
Section: Introductionmentioning
confidence: 98%
“…As for East Asian stock markets, it becomes less responsive to the U.S.'s shocks after the 2007-2009 global financial crisis; but East Asian stock markets become more integrated after the crisis which is similar to the BRICs' stock markets (Wang 2014;Bekiros 2014). However, Donadelli (2014) revealed that Asian stock markets' performances experienced a short-run plunge in response to the U.S.'s shock after the subprime crisis.…”
Section: Literature Reviewmentioning
confidence: 95%
“…They found that global factors impact the BRICs' stock markets, particularly the onset of the recent global financial crisis. This shows that the BRICs have become more internationally integrated after the U.S.'s global financial crisis (Bekiros 2014). Conversely, Samarakoon (2011) observed that there is no contagion from the U.S. to emerging markets except for Latin America but surprisingly, there is contagion from emerging markets to the U.S.…”
Section: Literature Reviewmentioning
confidence: 98%