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Liquidity contagion: A look at emerging markets

dc.contributor.authorDudek, Jérémy
dc.date.accessioned2012-03-12T15:37:41Z
dc.date.available2012-03-12T15:37:41Z
dc.date.issued2011
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/8444
dc.language.isoenen
dc.subjectliquidityen
dc.subjectemerging economiesen
dc.subject.ddc332en
dc.subject.classificationjelG12en
dc.subject.classificationjelF59en
dc.titleLiquidity contagion: A look at emerging marketsen
dc.typeCommunication / Conférence
dc.description.abstractenEmerging economies have passed an important stress test during the period 2008-2009 and are now the key drivers for global growth of the world economy. The explosive expansion that emerging markets are showing during the last few years is mainly due to substantial returns that investors made. However, literature exposes that poor liquidity is one of the main reasons for foreign institutional investors not investing in emerging markets. The main contribution is to propose to analyze the liquidity of emerging markets and their effects on the contagion from one another in order to prevent illiquid events or systemic risk. Emerging market liquidity measures are the basis for the sovereign debt market, the deviations of the covered interest parity or the BIL for the foreign exchange market. One classical way to identify contagion is to observe an increase in correlation between asset returns during a crisis period. However, since crisis periods are typically characterized by an increase in volatility, it is crucial to discriminate between volatility and pure-correlation rises. One way to tackle this problem is to use a state-space model with a time-varying volatility specification and apply it to both returns and liquidity indicators.en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitle5th CSDA International Conference on Computational and Financial Econometrics (CFE'11)en
dc.relation.confdate2011-12
dc.relation.confcityLondresen
dc.relation.confcountryRoyaume-Unien


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