Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach

https://isiarticles.com/bundles/Article/pre/pdf/13798.pdf

The more contagion effect on emerging markets: The evidence of DCC-GARCH model

We examine, through application of wavelet coherency, the co-movement of European frontier stock markets with the USA and developed markets in Europe. We find that the strength of co-movement varies considerably across the frontier markets, at different frequencies (time horizons), and over time. Co-movement is relatively weaker for the frontier markets of Central and Southeastern Europe than in the Baltic region. Of the markets examined, Slovakia in particular shows low dependence, whereas Lithuania seems to be the most dependent market. Co-movement is stronger at lower frequencies (longer horizons) and increases during the turbulent period of the global financial crisis of 2008/2009. We identify several macroeconomic factors related to variations in co-movement at different time frequencies.

https://papers.ssrn.com/sol3/Delivery.cfm/EUFM_EUFM646.pdf?abstractid=2456039&mirid=1&type=2

The Co-movement Dynamics of European Frontier Stock Markets: The Co-movement Dynamics of European Frontier Stock Markets

Reexamining the relationships between stock prices and exchange rates in ASEAN-5 using panel Granger causality approach

Systemic risk network of Chinese financial institutions

https://isiarticles.com/bundles/Article/pre/pdf/14921.pdf

Chu-Sheng Tai

Papers

Market integration and contagion: Evidence from Asian emerging stock and foreign exchange markets