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International Transmission Mechanism of Stock Market Movements: Evidence from Emerging Equity Markets by Gökçe Soydemir is a Economics, Econometrics and Finance article available to read on EtoBox.

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This paper investigates the transmission patterns of stock market movements between developed and emerging market economies by estimating a four-variable VAR model. The underlying economic fundamentals and trade links are considered as possible determinants of dierences in transmission patterns. The results of the impulse response functions and variance decompositions indicate that signi®cant links exist between the stock markets of the USA and Mexico and weaker links between the markets of the USA, Argentina, and Brazil. Dierences in the patterns of stock market responses are consistent with dierences in trade ̄ows. The response of emerging markets to a shock to the US market lasts longer than that of a developed market such as the UK. While no single emerging market can aect the US stock market, the combined eect of emerging markets on the US stock market is found to be statistically signi®cant. These ®ndings can be linked to dierences in the speed of information processing and to the institutional structure governing the market. Overall the ®ndings suggest that the transmission of stock market movements is in accord with underlying economic fundamentals rather than irrational c

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Author

Gökçe Soydemir

Publisher

John Wiley and Sons; Wiley (John Wiley & Sons); John Wiley & Sons Inc.; Wiley (ISSN 0277-6693)

Published

2000

Language

EN

Field

Economics, Econometrics and Finance (Social Sciences)