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

• Peterson Owusu Junior ^[1] ; Imhotep Alagidede ^[1] ; George Tweneboah ^[1]
  1. [1] University of the Witwatersrand

     University of the Witwatersrand

     City of Johannesburg, Sudáfrica

     
• Localización: Economics and Business Letters, ISSN-e 2254-4380, Vol. 9, Nº. Extra 3, 2020 (Ejemplar dedicado a: Selected papers from 7th International PhD Meeting in Economics 2019), págs. 146-156
• Idioma: inglés
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• Resumen

  • We explore interdependence and contagion in the top 9 emerging markets and the US equities using a novel time-varying generalised lambda distribution (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