Tail-event driven NETwork dependence in emerging markets

Muhammad Abubakr Naeem; Imran Yousaf; Sitara Karim; Larisa Yarovaya; Shoaib Ali

doi:10.1016/j.ememar.2022.100971

Tail-event driven NETwork dependence in emerging markets

Muhammad Abubakr Naeem, Imran Yousaf, Sitara Karim, Larisa Yarovaya, Shoaib Ali

Economics and Finance - (CBE)

Research output: Contribution to journal › Article › peer-review

40 Citations (Scopus)

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.

Original language	English
Article number	100971
Journal	Emerging Markets Review
Volume	55
DOIs	https://doi.org/10.1016/j.ememar.2022.100971
Publication status	Published - Jun 2023

Keywords

COVID-19
Emerging markets
Global financial crisis
Systemic risk network
TENET

ASJC Scopus subject areas

Business and International Management
Economics and Econometrics

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10.1016/j.ememar.2022.100971

Cite this

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title = "Tail-event driven NETwork dependence in emerging markets",

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.",

keywords = "COVID-19, Emerging markets, Global financial crisis, Systemic risk network, TENET",

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AU - Yousaf, Imran

AU - Karim, Sitara

AU - Yarovaya, Larisa

AU - Ali, Shoaib

PY - 2023/6

Y1 - 2023/6

N2 - 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.

AB - 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.

KW - COVID-19

KW - Emerging markets

KW - Global financial crisis

KW - Systemic risk network

KW - TENET

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Tail-event driven NETwork dependence in emerging markets

Abstract

Keywords

ASJC Scopus subject areas

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