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The Transmission of U.S. Equity Shocks to Emerging Stock Markets and the Role of U.S. Monetary Policy

Stengel, Lisa; Massard, Frederic
Master thesis
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URI
http://hdl.handle.net/11250/2578538
Date
2018
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  • Master of Science [1117]
Abstract
This master thesis examines the equity return connectedness between the U.S. and

12 emerging market countries between 1994 to 2017, applying a network approach

based on variance decompositions from a vector autoregressive model (VAR),

proposed by Diebold and Yilmaz (2012). Our findings suggest that return spillovers

between the countries exist in varying strength, and that overall spillovers increase

in crisis periods. There is empirical evidence for the existence of two regional

connectedness clusters, one in Asia and one between the U.S. and Latin America.

The majority of emerging market countries are net receivers of equity shocks

whereas the U.S. and Mexico play the largest role in transmitting directional shocks

to other markets. Financial integration significantly determines return spillovers

from the U.S. to emerging markets which provides support for the portfolio channel

theory. Finally, the reaction of countries to shocks arising from U.S. monetary

policy surprises is widely consistent with our spillover analysis. Our results suggest

that Mexico and Brazil are most sensitive
Description
Masteroppgave(MSc) in Master of Science in Business, Finance/Master of Science in Finance - Handelshøyskolen BI, 2018
Publisher
Handelshøyskolen BI

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