Tail-Event driven NETwork dependence in emerging markets
Tail-Event driven NETwork dependence in emerging markets
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.
COVID-19, Emerging markets, Global financial crisis, Systemic risk network, TENET
Naeem, Muhammad Abubakr
959d6cc4-53d1-47dc-8c3c-0354a08633d7
Yousaf, Imran
4c6ebdab-7527-42b4-986b-94db0f2749e9
Karim, Sitara
1f712808-acf8-4b84-b157-0464f326704c
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Ali, Shoaib
5b533695-c4ff-4998-afbe-576a15e23770
12 November 2022
Naeem, Muhammad Abubakr
959d6cc4-53d1-47dc-8c3c-0354a08633d7
Yousaf, Imran
4c6ebdab-7527-42b4-986b-94db0f2749e9
Karim, Sitara
1f712808-acf8-4b84-b157-0464f326704c
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Ali, Shoaib
5b533695-c4ff-4998-afbe-576a15e23770
Naeem, Muhammad Abubakr, Yousaf, Imran, Karim, Sitara, Yarovaya, Larisa and Ali, Shoaib
(2022)
Tail-Event driven NETwork dependence in emerging markets.
Emerging Markets Review, [100971].
(doi:10.1016/j.ememar.2022.100971).
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.
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Accepted/In Press date: 31 October 2022
e-pub ahead of print date: 12 November 2022
Published date: 12 November 2022
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© 2022 The Authors
Keywords:
COVID-19, Emerging markets, Global financial crisis, Systemic risk network, TENET
Identifiers
Local EPrints ID: 472682
URI: http://eprints.soton.ac.uk/id/eprint/472682
ISSN: 1566-0141
PURE UUID: b72bad37-a2f1-4702-8c67-fac22dfcfbd8
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Date deposited: 14 Dec 2022 17:36
Last modified: 17 Mar 2024 03:54
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Contributors
Author:
Muhammad Abubakr Naeem
Author:
Imran Yousaf
Author:
Sitara Karim
Author:
Shoaib Ali
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