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Testing for contagion from oil and developed markets to emerging markets : an empirical analysis using systemic risk parameter
| dc.contributor.author | Cayón Fallon, Edgardo | spa |
| dc.contributor.author | Sarmiento Sabogal, Julio Alejandro | spa |
| dc.date.accessioned | 2023-06-21T22:23:03Z | |
| dc.date.available | 2023-06-21T22:23:03Z | |
| dc.date.issued | 2020 | |
| dc.identifier.issn | 2071-8330 | |
| dc.identifier.uri | http://hdl.handle.net/10726/5073 | |
| dc.language.iso | eng | |
| dc.publisher | Centrum Badan Socjologicznych | |
| dc.title | Testing for contagion from oil and developed markets to emerging markets : an empirical analysis using systemic risk parameter | eng |
| dc.type | article | |
| dc.rights.accessrights | info:eu-repo/semantics/openAccess | |
| dc.rights.local | Abierto (Texto Completo) | |
| dc.type.version | info:eu-repo/semantics/acceptedVersion | |
| dc.identifier.instname | instname:Colegio de Estudios Superiores de Administración – CESA | |
| dc.identifier.reponame | reponame:Biblioteca Digital – CESA | |
| dc.identifier.repourl | repourl:https://repository.cesa.edu.co/ | |
| dc.description.abstractenglish | This paper analyses the volatility transmission from changes in prices in oil and developed stock markets to emerging markets. We test for volatility contagion from these two factors while allowing for interaction between them in order to account for diversification effects using the M-GARCH framework in a traditional two-factor market model. We find evidence that for all the periods under observation the covariance between developed markets and oil prices is negative. This negative covariance leads to a diversification effect, which lowers the impact of developed market prices on the systemic risk of emerging markets and gives support for the decoupling hypothesis concerning emerging market volatility during the beginning of the global financial crisis (GFC). | eng |
| dc.type.coar | http://purl.org/coar/resource_type/c_2df8fbb1 | |
| dc.relation.citationvolume | 13 | |
| dc.relation.citationissue | 2 | |
| dc.relation.citationstartpage | 98 | |
| dc.relation.citationendpage | 108 | |
| dc.contributor.orcid | Cayón Fallon, Edgardo [0000-0002-4113-5521] | |
| dc.contributor.orcid | Sarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813] | |
| dc.type.driver | info:eu-repo/semantics/article | |
| dc.type.redcol | http://purl.org/redcol/resource_type/ART | |
| dc.type.coarversion | http://purl.org/coar/version/c_71e4c1898caa6e32 | |
| dc.contributor.scopus | Cayón Fallon, Edgardo [56395390800] | |
| dc.contributor.scopus | Sarmiento Sabogal, Julio Alejandro [57196465468] | |
| dc.description.orcid | https://orcid.org/0000-0002-4113-5521 | |
| dc.description.orcid | https://orcid.org/0000-0001-5986-4813 | |
| dc.description.scopus | https://www.scopus.com/authid/detail.uri?authorId=56395390800 | |
| dc.description.scopus | https://www.scopus.com/authid/detail.uri?authorId=57196465468 | |
| dc.identifier.eissn | 2306-3483 | |
| dc.relation.ispartofjournal | Journal of International Studies | |
| dc.identifier.url | https://www.jois.eu/?605,en_testing-for-contagion-from-oil-and-developed-markets-to-emerging-markets-an-empirical-analysis-using-systemic-risk-parameter | |
| dc.subject.proposal | Oil | |
| dc.subject.proposal | Contagion | |
| dc.subject.proposal | Emerging markets | |
| dc.subject.proposal | Systemic risk | |
| dc.rights.coar | http://purl.org/coar/access_right/c_abf2 |
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