وابستگی متقابل بازار سهام، سرایت و بحران های مالی آمریکا: مورد بازارهای مرزی و نوظهور

This paper examines transmission of shocks between the U.S. and foreign markets to delineate interdependence from contagion of the U.S. financial crisis by constructing shock models for partially overlapping and non-overlapping markets. There exists important bi-directional, yet asymmetric, interdependence and contagion in emerging markets, with important regional variations. Interdependence is driven more by U.S. shocks, while contagion is driven more by emerging market shocks. Frontier markets also exhibit interdependence and contagion to U.S. shocks. Except for Latin America, there is no contagion from U.S. to emerging markets. But there is contagion from emerging markets to the U.S.

The recent U.S. financial crisis, particularly the severity with which it gripped the markets and economies around the world, was one of the most unanticipated and tumultuous economic events in the recent history. The decline in the U.S. stock market began in late 2007, which was quickly followed by declines in both emerging and frontier markets. During the most turbulent episode of the meltdown that lasted for about 6 months from September 2008 to early March 2009, the U.S. stock market plummeted by 43%, the emerging markets by 50%, and frontier markets by 60%. Do these declines in stock markets around the world during the U.S. financial crisis provide evidence of contagion? If contagion exists during the U.S. crisis, then what is the magnitude of such contagion? How is the contagion during this crisis period different from the transmission of shocks during relatively tranquil periods? The motivation of this paper is to answer these questions by investigating the propagation of return shocks between the U.S. and emerging and frontier stock markets.

This paper examines the transmission of shocks between the U.S. and foreign stock markets to delineate the effects of interdependence from contagion of the U.S. financial crisis using two shock models representing partially overlapping and non-overlapping emerging and frontier markets. There exits important bi-directional, yet asymmetric, interdependence and contagion between the U.S. and emerging markets, with important regional variations. The interdependence is driven more by U.S. shocks than by emerging market shocks, whereas contagion is driven more by emerging market shocks than by U.S. shocks. While Asian emerging markets do not impact the U.S. in tranquil periods, they have a strong contagious effect on the U.S. during the crisis. Except for Latin America, there is no contagion of U.S. crisis to emerging markets in other regions, whereas there is strong contagion from emerging markets in all regions to the U.S. There is evidence of interdependence and contagion, although small in magnitude, in frontier markets with respect to U.S. shocks. Frontier markets are influenced by U.S. shocks more during crisis than during normal times, and the U.S. financial crisis had a more contagious effect on frontier markets than on emerging markets. These findings enrich the existing literature on transmission of shocks in international capital markets.