Heinlein, R, Mahadeo, S and Legrenzi, GD (2022) Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios. The North American Journal of Economics and Finance. ISSN 1062-9408

[thumbnail of Mahadeo Heinlein Legrenzi - Frontier Markets and SP 500 stress.pdf] Text
Mahadeo Heinlein Legrenzi - Frontier Markets and SP 500 stress.pdf - Accepted Version
Restricted to Repository staff only until 14 January 2024.
Available under License Creative Commons Attribution Non-commercial No Derivatives.

Download (534kB)


We use alternative approaches to identify stable and stressful scenarios in the S&P 500 market, to offer a new perspective for constructing contagion tests in recipient frontier markets vulnerable to disturbances from this source market. The S&P 500 market is decomposed into discrete conditions of: (1) tranquil versus turbulent volatility; (2) bull versus bear market phases; (3) normal periods versus asset bubbles and crashes. Based on these identified scenarios, we use various co-moment contagion tests to analyse the changing relationship between the S&P 500 market and major frontier markets in the Caribbean region that have prominent trade related exposure to the US. Our findings show that, outside of the events of the Great Recession, the Caribbean stock exchanges are largely independent of the S&P 500 market.

Item Type: Article
Additional Information: The final version of this article and all relevant information related to it, including copyrights, can be found on the publisher website.
Uncontrolled Keywords: contagion; correlation; crisis; S&P 500; stock market; volatility JEL classification: C58; G01
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
H Social Sciences > HF Commerce
H Social Sciences > HF Commerce > HF5410 Marketing. Distribution of products
Divisions: Faculty of Humanities and Social Sciences > Keele Business School
Depositing User: Symplectic
Date Deposited: 11 Jan 2022 09:04
Last Modified: 20 Jan 2022 15:43
URI: https://eprints.keele.ac.uk/id/eprint/10476

Actions (login required)

View Item
View Item