1. Tail-event driven NETwork dependence in emerging markets.
- Author
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Naeem, Muhammad Abubakr, Yousaf, Imran, Karim, Sitara, Yarovaya, Larisa, and Ali, Shoaib
- Subjects
- *
EMERGING markets , *FINANCIAL markets , *MARKET potential , *COVID-19 pandemic , *PORTFOLIO diversification ,ECONOMIC conditions in Asia - Abstract
This paper employs the Tail Event NETwork (TENET) to identify financial markets with greater potential risk, and simultaneously investigate the interdependence between them. We find strong time-varying connectedness across 23 emerging markets during the main crisis episodes, including the most recent COVID-19 pandemic, using data from January 1995 to May 2021. The network analysis revealed that emerging European markets are top risk transmitters, whereas emerging Asian markets are top risk receivers. China showed disconnection from the network, reflecting its diversification potential for investors. Our findings offer several policy and regulatory implications. • We investigated the tail-event network dependence of 23 emerging markets; • Tail-Event NETwork (TENET) technique has been employed; • We show that European emerging markets are top risk transmitters, while Asian economies are top risk receivers; • Chinese market is decoupled from the rest of markets analysed. [ABSTRACT FROM AUTHOR]
- Published
- 2023
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