Abstract
In the wake of raising global interconnectedness and the most recent global financial crisis, researchers, and practitioners alike show increasing interest in contagion and understanding its behaviour – measurement of observable patterns, levels of impact, variations and contributing factors. Accordingly, various methodologies have been applied to different samples, shock sources, and crisis times in order to better understand pure contagion and its effect on global economies during adverse economic periods. This research study adopts a wavelet analysis to assess the dynamic behaviour of spillover effects from two key markets (China and the US) on six major emerging economies across five regions. The results support the presence of pure (shift) contagion during the crisis period and suggest variation in market response for each market as well as shock source. The findings presented in this research study may prove insightful to investors and asset managers wishing to diversify portfolios in the studied markets or to policy-makers in establishing stronger stabilisation programmes.
M.Com. (Financial Economics)