Emerging Market Volatility Spillovers

Abstract

We address the importance of emerging market economies for the global economy by testing for volatility spillovers between the United States and a number of emerging market economies. We use the methodology recently introduced by Diebold and Yilmaz and daily data, over the period from December 8, 2011, to March 21, 2018, on exchange-traded funds (ETFs), retrieved from Yahoo! Finance, for seven emerging market countries—China, Colombia, Greece, Mexico, Russia, South Africa, and South Korea. We find statistically significant volatility spillovers from emerging market economies to the United States, meaning that the growth prospects of emerging market economies are becoming extremely relevant for global economic growth. JEL classification: E32, F20, F42

Monetary policy spillovers in emerging economies

“…If this is indeed the case, then even under flexible exchange rates there is no such a thing as true ‘monetary independence.’” Motivated by these considerations, in this paper, we explore for spillovers from monetary policy in the United States to a number of emerging market countries. These economies are becoming extremely relevant for global economic growth, as they account for about 70% of global growth in output and consumption, and as Serletis and Azad () recently put it in the Conclusion, “the growth prospects of emerging market economies are becoming extremely relevant for global economic growth.”…”

The effects of volatility and changes in conditional correlations in the stock markets of Russia and developed countries

“…Various interdependencies are revealed. Abdelkefi (2015) demonstrates the existence of unilateral and bilateral relations between the US stock market and other developed markets; Panda and Nanda (2018) establish that emerging markets are less related to developed market in terms of profitability; Kutlar and Torun (2014) show that while the markets of developed countries show a strong spread of volatility, in developed countries there is a weak spread of volatility to developing countries; Seth and Singhania (2019) show that selective border markets are intertwined with developed markets; Guesmi et al (2014) show that most European stock markets are closely related to the US market; Ahmed et al (2018) use correlation analysis to show a significant positive correlation between developed markets but a relatively insignificant correlation between developing and developed markets; Wang et al(2018) highlight the presence of a strong VOLATILITY AND CORRELATIONS BETWEEN STOCK MARKETS spread of volatility from the USA to five major stock markets; Serletis and Azad (2018) reveal statistically significant secondary effects of volatility from emerging economies on the United States; Hung (2019) demonstrates that the correlation between Central European markets is especially significant; and Mitra et al (2015) find that the transfer of volatility between stock markets is predictable because they follow a certain pattern, and therefore they were modelled using appropriate theoretical distributions. The above articles establish that the process of the spread of volatility affects the flow of financial assets between countries and has led to significant changes in terms of stock market returns, the volume of transactions, and market value.…”

“…The interconnections of the Russian stock market have also been widely studied (Anatolyev, 2008;Asaturov et al, 2015;Fedorova, 2013;Saleem, 2008;and Serletis & Azad, 2018), while other authors study the Russian stock market in conjunction with BRIC countries (Ahmad et al, 2018;Kocaarslan et al, 2017;Prashan, 2014). These authors find that financial indicators from Germany -and not from the United States -are the main driving force of the Russian financial markets; that the degree of integration of the Russian stock market with the European stock market is higher than the degree of integration with US and Asian markets (Anatolyev, 2008); that there is direct evidence of a weak connection between the Russian stock market and world markets in terms of profitability and volatility (Saleem, 2008); and that the yield of developed European market indices has a more significant impact on the Russian stock market than on the American or Chinese markets and there is no long-term dependence of the Russian stock market on the dynamics of developed countries (Fedorova, 2013).…”

Corporate Governance Mechanisms and Financial Performance: A Systematic Literature Review in Emerging Markets

“…These markets have emerged as a collective force in the twenty-first century, playing a vital role in global economic growth and governance (Hu et al, 2021). Additionally, spillovers from major emerging markets have been shown to significantly impact global economic activity (Huidrom et al, 2017;Serletis & Azad, 2018). In conclusion, the growth of emerging markets is influenced by various factors such as economic policies, financial investments, and international trade relationships.…”