The transmission of emerging market shocks to global equity markets

Christian Thimann, Marcel Fratzscher () and Lucía Cuadro Sáez

No 724, Working Paper Series from European Central Bank

Abstract: The paper analyses whether, and to what extent, emerging market economies (EMEs) have systemic importance for global financial markets, above and beyond their influence during crises episodes. Using a novel database of exogenous economic and political shocks for 14 systematically relevant EMEs, we find that EME shocks not only have a statistically but also economically significant impact on global equity markets. The economic significance of EME shocks is in particular underlined by their remarkably persistent effects over time. Importantly, EMEs are found to influence global equity markets about just as much in "good" times as in "bad" times, i.e. during crises or periods of financial turbulence. Finally, we detect a large degree of heterogeneity in the transmission of EME shocks to individual countries' equity markets, stressing the different degrees of financial exposure, which is relatively higher for European equity markets. JEL Classification: F36, F30, G15

Keywords: equity markets; financial area; global financial markets; transmission; United States (search for similar items in EconPapers)
Date: 2007-02
Note: 76331
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Journal Article: The transmission of emerging market shocks to global equity markets (2009)
Working Paper: The transmission of emerging market shocks to global equity markets (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2007724

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