Co-movement of Asia-Pacific with European and US stock market returns: A cross-time-frequency analysis

https://isiarticles.com/bundles/Article/pre/pdf/15811.pdf

Integration of 22 emerging stock markets : A three-dimensional analysis

Rapidly growing numbers of empirical papers assessing the financial effects of COVID-19 pandemic triggered an urgent need for a study summarising the existing knowledge of contagion phenomenon. This paper provides a review of conceptual approaches to studying financial contagion at four levels of information transmission: (i) Catalyst of contagion; (ii) Media Attention; (iii) Spillover effect at financial markets; (iv) Macroeconomic fundamentals. We discuss the unique characteristics of COVID-19 crisis and demonstrate how this shock differs from previous crises and to what extent the COVID-19 pandemic can be considered a ‘black swan’ event. We also review the main concepts, definitions and methodologies that are frequently, but inconsistently, used in contagion literature to unveil the existing problems and ambiguities in this popular area of research. This paper will help researchers to conduct coherent and methodologically rigorous research on the impact of COVID-19 on financial markets during the pandemic and its aftermath.

Rethinking Financial Contagion: Information Transmission Mechanism During the COVID-19 Pandemic.

This paper investigates the impact of trade and financial liberalisation on the degree of stock market co-movement among emerging economies. Using a sample of 25 developing countries observed over 15 years, we estimate the impact of reforms aimed at opening these countries through trade and financial channels to the rest of the world. The estimation of time-varying cross-country correlations allows the econometric investigation to be performed using a panel data framework, thus raising the quality of the statistical inference. Our results offer strong support in favour of a positive impact of trade and financial liberalisation reforms on the degree of cross-country stock market linkages.

https://www.econstor.eu/bitstream/10419/26176/1/557642256.PDF

Liberalisation and stock market co-movement between emerging economies

Stock Market Integration and Volatility Spillover:India and its Major Asian Counterparts

https://repository.up.ac.za/bitstream/handle/2263/6209/Pretorius_Economic(2002).pdf;sequence=1

Economic determinants of emerging stock market interdependence

The aim of this paper is to explain the determinants of the South African long­ term interest rate. A market-related approach is followed which explains interest rate determination on the basis of the relationships between the capital market and other domestic and international markets. Some implications for monetary policy are derived. JEL G 12

/pdf/an-empirical-capital-market-rate-function-for-south-africa-3zuvhw6bjc.pdf

Elna Pretorius

Papers

Economic determinants of emerging stock market interdependence

An empirical capital market rate function for South Africa