The emerging market crisis and stock market linkages: further evidence
研究1998年俄罗斯金融危机前后美国、德国与四个东欧新兴股市的长期价格关系和动态价格传导，发现危机后市场联动增强，德国对东欧市场的影响在危机后才显现。
Abstract This study examines the long‐run price relationship and the dynamic price transmission among the USA, Germany, and four major Eastern European emerging stock markets, with particular attention to the impact of the 1998 Russian financial crisis. The results show that both the long‐run price relationship and the dynamic price transmission were strengthened among these markets after the crisis. The influence of Germany became noticeable on all the Eastern European markets only after the crisis but not before the crisis. We also conduct a rolling generalized VAR analysis to confirm the robustness of the main findings. Copyright © 2006 John Wiley & Sons, Ltd.