Shape-shift contagion in emerging markets equities: evidence from frequency- and time-domain analysis

Authors

  • Peterson Owusu Junior Wits Business School, University of the Witwatersrand http://orcid.org/0000-0001-6253-5770
  • Imhotep Alagidede Wits Business School, University of the Witwatersrand
  • George Tweneboah Wits Business School, University of the Witwatersrand

DOI:

https://doi.org/10.17811/ebl.9.3.2020.146-156

Abstract

We explore interdependence and contagion in the top 9 emerging markets and the US equities using a novel time-varying GLD-based Baruník & Křehlík (2018) (BK18) spillover technique. The GLD accounts for the extreme returns while the BK18 capture the nonlinear, nonstationary, asymmetric, and time-dependent comovements in higher moments. We find dominance of some emerging markets instead of the US in the frequency-dependent spillovers. We also establish shape shift-contagion in emerging markets equities in the short-term. Our results shed new light on the sources of connectedness and contagion through the shape parameters of equity returns.

Author Biographies

Peterson Owusu Junior, Wits Business School, University of the Witwatersrand

Wits Business School. PhD Candidate.

Imhotep Alagidede, Wits Business School, University of the Witwatersrand

Wits Business School. Professor of Finance.

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Published

2020-12-13

How to Cite

Owusu Junior, P., Alagidede, I., & Tweneboah, G. (2020). Shape-shift contagion in emerging markets equities: evidence from frequency- and time-domain analysis. Economics and Business Letters, 9(3), 146–156. https://doi.org/10.17811/ebl.9.3.2020.146-156