Faculty Scholarship 1994 - Present
The Decoupling of Emerging Markets from the U.S. Equity Market
This research investigates the linkage between the historic returns of 13 emerging equity markets and the United States stock market using tests of Granger-causality and vector autoregression. This study documents a statistically significant increase in the overall lead/lag relationship between the emerging market returns and U.S. stock market returns. While it is demonstrated that all emerging markets are much less reliant on the U.S. as an export market, the emerging equity markets have not decoupled from the U.S. equity market.