The Risk

Relationship
Between Developed
and Emerging
Markets
Nicholas Giguere
Northeastern University
D'Amore McKim School of Business/Khoury College of Computer Science
Outline

Background Research Objectives

Research Methods Expected Outcomes

Background

• Emerging Market Risk/Return

Drivers
• Relationships with Japan and the
US
• Volatility Spillover
Emerging
Market
Returns
Impact of various global shocks on
emerging market returns
Relationshi
p between
Japan/US
and ASEAN
Volatility Spillover
Volatility Spillover Time-Series Graphs
Research
Objectives

• Goals and Purpose of Research

Goals and
Purpose of Goals
• Defining Current Volatility Relationships

Research • Influence of Developed Markets on Emerging

Markets in Economic Depressions/Instability

Purpose
• Update older research between Developed and Emerging
Markets
• Fulfill gaps in knowledge surrounding lesser known
Asian Pacific Markets
Research
Methods
• Dynamic Spillover Causal Model
• Markov Statistical Model
• Logistics
Causality Relationship Diagram

Dynamic
Spillover
Causal
Model
Concordance Statistics Markov Statistical
Model
Key Measures
• Mean
• Standard Deviation
• Variance
• Correlation
• Concordance
• Kurtosis
 Logistics

• Weeks 1 – 8: Data selection and collection

• Weeks 9 – 12: Markov and Causal Model analysis
Python and R statistical packages
• Weeks 13 – 20: Observance period
Outcomes

• Developed vs. Emerging Markets

Developed • The risk influence between markets has
vs. weakened over time

Emerging • Significant increase in volatility

spillover during economic
Markets recessions/instability
• Outcomes contributes to International
Business strategy research
References
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Cha, B., & Oh, S. (2000). The relationship between developed equity markets and the Pacific Basin’s emerging equity markets. International
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Gonzalez-Sanchez, M. (2021, March 17). Term structure of risk factor premiums used for pricing asset: Emerging vs developed markets.
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Switzer, L.N., Picard, A. (2015, September). Idiosyncratic volatility, momentum, liquidity, and expected stock returns in developed and
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Zhang, P., Sha, Y., & Xu, Y. (2021, April 21). Stock market volatility spillovers in G7 and BRIC. Emerging Markets Finance and Trade .
https://doi.org/10.1080/1540496X.2021.1908256
Thank You for
Listening!

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