Tail risk transmission from the United States to emerging stock markets : empirical evidence from multivariate quantile analysis

Zhang, Yi and Zhou, Long and Wu, Baoxiu and Liu, Fang (2024) Tail risk transmission from the United States to emerging stock markets : empirical evidence from multivariate quantile analysis. North American Journal of Economics and Finance, 73. 102164. ISSN 1062-9408 (https://doi.org/10.1016/j.najef.2024.102164)

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Abstract

This paper explores the transmission of risk from the United States equity market to the equity markets of the BRICS countries using a multivariate quantile process. The focus is on the contagion effect at the extreme quantiles, both upside and downside. In addition, a pseudo-impulse-response function (PIRF) analysis is conducted to investigate the responses of the five emerging stock markets to a shock in the US market. We conduct an empirical study against the backdrop of the COVID-19 event and the Russia-Ukraine conflict, finding that risk spillovers between the US stock market and the five emerging stock markets are significantly enhanced during the COVID-19 period. Moreover, a shock in the US market produces a stronger and more persistent negative effect at the downside quantiles compared to upside quantiles. However, we find little evidence of cross-market risk spillovers among the investigated variables during the Russia-Ukraine conflict period. We also discuss the implications of these findings for investors and policymakers in terms of portfolio holdings and policy coordination.

ORCID iDs

Zhou, Long ORCID: https://orcid.org/0000-0001-9687-1406

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• Item metadata

  Item type:	Article
  ID code:	87615
  Dates:	Date Event 1 July 2024 Published 20 April 2024 Published Online 18 April 2024 Accepted 16 April 2024 Submitted
  Subjects:	Social Sciences > Economic History and Conditions
  Department:	?? 15452 ??
  Depositing user:	Pure Administrator
  Date deposited:	13 Dec 2023 10:51
  Last modified:	02 Apr 2025 01:25
  URI:	https://strathprints.strath.ac.uk/id/eprint/87615