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Publication Details
AFRICAN RESEARCH NEXUS
SHINING A SPOTLIGHT ON AFRICAN RESEARCH
economics, econometrics and finance
Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?
Journal of Banking and Finance, Volume 35, No. 1, Year 2011
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Description
The paper examines the extent of the current global crisis and the contagion effects it induces by conducting an empirical investigation of the extreme financial interdependences of some selected emerging markets with the US. Several copula functions that provide the necessary flexibility to capture the dynamic patterns of fat tail as well as linear and nonlinear interdependences are used to model the degree of cross-market linkages. Using daily return data from Brazil, Russia, India, China (BRIC) and the US, our empirical results show strong evidence of time-varying dependence between each of the BRIC markets and the US markets, but the dependency is stronger for commodity-price dependent markets than for finished-product export-oriented markets. We also observe high levels of dependence persistence for all market pairs during both bullish and bearish markets. © 2010 Elsevier B.V.
Authors & Co-Authors
Aloui, Riadh
Tunisia, Tunis
Faculté Des Sciences Economiques et de Gestion de Tunis
Ben Aïssa, Mohamed Safouane
Tunisia, Tunis
Faculté Des Sciences Economiques et de Gestion de Tunis
Nguyen, Duc Khuong
France, Paris
Isc Paris Business School
Statistics
Citations: 517
Authors: 3
Affiliations: 2
Identifiers
Doi:
10.1016/j.jbankfin.2010.07.021
ISSN:
03784266