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Testing for contagion from oil and developed markets to emerging markets : an empirical analysis using systemic risk parameter

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dc.contributor.authorCayón Fallon, Edgardospa
dc.contributor.authorSarmiento Sabogal, Julio Alejandrospa
dc.contributor.orcidCayón Fallon, Edgardo [0000-0002-4113-5521]
dc.contributor.orcidSarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813]
dc.contributor.scopusCayón Fallon, Edgardo [56395390800]
dc.contributor.scopusSarmiento Sabogal, Julio Alejandro [57196465468]
dc.date.accessioned2023-06-21T22:23:03Z
dc.date.available2023-06-21T22:23:03Z
dc.date.issued2020
dc.description.abstractenglishThis 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.description.orcidhttps://orcid.org/0000-0002-4113-5521
dc.description.orcidhttps://orcid.org/0000-0001-5986-4813
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=56395390800
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=57196465468
dc.identifier.eissn2306-3483
dc.identifier.instnameinstname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.issn2071-8330
dc.identifier.reponamereponame:Biblioteca Digital – CESA
dc.identifier.repourlrepourl:https://repository.cesa.edu.co/
dc.identifier.urihttp://hdl.handle.net/10726/5073
dc.identifier.urlhttps://www.jois.eu/?605,en_testing-for-contagion-from-oil-and-developed-markets-to-emerging-markets-an-empirical-analysis-using-systemic-risk-parameter
dc.language.isoeng
dc.publisherCentrum Badan Socjologicznych
dc.relation.citationendpage108
dc.relation.citationissue2
dc.relation.citationstartpage98
dc.relation.citationvolume13
dc.relation.ispartofjournalJournal of International Studies
dc.rights.accessrightsinfo:eu-repo/semantics/openAccess
dc.rights.coarhttp://purl.org/coar/access_right/c_abf2
dc.rights.localAbierto (Texto Completo)
dc.subject.proposalOil
dc.subject.proposalContagion
dc.subject.proposalEmerging markets
dc.subject.proposalSystemic risk
dc.titleTesting for contagion from oil and developed markets to emerging markets : an empirical analysis using systemic risk parametereng
dc.typearticle
dc.type.coarhttp://purl.org/coar/resource_type/c_2df8fbb1
dc.type.coarversionhttp://purl.org/coar/version/c_71e4c1898caa6e32
dc.type.driverinfo:eu-repo/semantics/article
dc.type.redcolhttp://purl.org/redcol/resource_type/ART
dc.type.versioninfo:eu-repo/semantics/acceptedVersion

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