RETURN SPILLOVERS BETWEEN EMERGING MARKETS’ FINANCIAL STRESS AND EQUITY MARKETS OF BRIC-T COUNTRIES

Authors : Samet GÜNAY, Mehtap ÖNER, Aslı AYBARS

Pages : 108-121

Doi:10.14780/muiibd.1317202

View : 189 | Download : 65

Publication Date : 2023-06-20

Article Type : Research Paper

Abstract :This study explores the connectedness between selected emerging equity markets insert ignore into journalissuearticles values(BRIC-T); and the Emerging Markets Financial Stress Index insert ignore into journalissuearticles values(EMFSI);. We aim to reveal the extent of spillovers from stock market indices to aggregated financial tension in these countries. Empirical investigations are executed through Quantile Vector Autoregression analysis. Results show that spillovers occur mainly during extreme negative and positive return periods. When we focus on four important phases, namely Global Financial Crisis insert ignore into journalissuearticles values(GFC);, the Euro Area Sovereign Debt Crisis, the COVID-19 pandemic, and the Russia-Ukraine war, three countries come to the fore. While Brazil has had a substantial and persistent impact across the years, during the GFC, two other countries, Russia and Türkiye, seem to induce positive return spillovers toward emerging markets’ stress. This impact becomes bilateral in Russia insert ignore into journalissuearticles values(both in positive and negative returns); during the pandemic and the Russia-Ukraine war. Thus, we conclude that among the examined market economies, negative or positive return transmissions to emerging market stress are led mainly by Brazil and Russia. The importance of energy sources and political factors can account for this result.
Keywords : Gelişmekte olan piyasalar, Finansal stres endeksi, Kuantil Vektör Otoregresyon, Getiri yayılımı