Is There Any Contagion in Emerging Debt Markets?

Posted: 30 Oct 2009  

Iuliana Ismailescu

Pace University - Lubin School of Business

Hossein B. Kazemi

University of Massachusetts at Amherst - Isenberg School of Management

Date Written: June 29, 2008

Abstract

This paper tests for contagion in emerging debt markets following Russia and Argentina’s government defaults. Using techniques that have been previously suggested for contagion tests in stock markets we find that debt and stock markets respond differently to financial crises. Volatilities and correlations do not increase significantly during default episodes and no evidence supporting spillover effects is found. However, we find evidence of contagion in extreme returns during both crisis periods as well as in the entire sample period. We conclude that contagion in emerging bond markets is more likely driven by their high linkages than by crisis episodes.

Keywords: contagion, credit events, emerging markets, sovereign debt, volatility spillover

JEL Classification: F21, F36, F37, G11, G15

Suggested Citation

Ismailescu, Iuliana and Kazemi, Hossein B., Is There Any Contagion in Emerging Debt Markets? (June 29, 2008). Available at SSRN: https://ssrn.com/abstract=1496365 or http://dx.doi.org/10.2139/ssrn.1496365

Iuliana Ismailescu (Contact Author)

Pace University - Lubin School of Business ( email )

One Pace Plaza
New York, NY 10038
United States
212-618-6524 (Phone)

Hossein B. Kazemi

University of Massachusetts at Amherst - Isenberg School of Management ( email )

Amherst, MA 01003-4910
United States

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