Are Emerging Markets Exposed to Contagion from the United States: Evidence from Stock and Sovereign Bond Markets
Hakimzadi Wagana and Zulfiqar Alib, aUniversity of Paris, Panthéon Sorbonne, France, bDepartment of Business Administration, University of Sindh Jamshoro, Pakistan, E-mail: hakimzadi@gmail.com, zulfi_wpk@hotmail.com
Abstract
By using the Asymmetric Dynamic Conditional Correlation (ADCC) model developed by Cappiello et al. (2006), we investigate how the dynamics of correlations between five emerging countries (Argentina, Chile, Hungary, Russia, and Poland), two emerging regions (Latin America (LAC) and Europe (EU)), and the United States, evolved from January 2004 to September 2011. The main contribution of this ...
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