TY  - JOUR
TI  - RETURN SPILLOVERS BETWEEN EMERGING MARKETS’ FINANCIAL STRESS AND EQUITY MARKETS OF BRIC-T COUNTRIES
AB  - This study explores the connectedness between selected emerging equity markets (BRIC-T) and the Emerging Markets Financial Stress Index (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 (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 (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.
AU  - Gunay, Samet
AU  - Öner, Mehtap
AU  - AYBARS, ASLI
DO  - 10.14780/muiibd.1317202
PY  - 2023
JO  - Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi
VL  - 45
IS  - 1
SN  - 2149-1844
SP  - 108
EP  - 121
DB  - TRDizin
UR  - http://search/yayin/detay/1181959
ER  -