Volatility spillovers and contagion from mature to emerging stock markets

Beirne, John and Caporale, Guglielmo Maria and Schulze-Ghattas, Marianne and Spagnolo, Nicola (2009) Volatility spillovers and contagion from mature to emerging stock markets. Centre for International Capital Markets discussion papers, 2009 (05). pp. 1-24. ISSN 1749-3412

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Abstract

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism - contagion - during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets.

Item Type: Article
Uncontrolled Keywords: Centre for International Capital Markets discussion papers; CICM discussion papers; volatility spillovers; contagion; stock markets; emerging markets
Subjects: 300 Social sciences > 330 Economics
Department: Guildhall School of Business and Law
Depositing User: Mary Burslem
Date Deposited: 20 Apr 2015 13:26
Last Modified: 20 Apr 2015 13:26
URI: http://repository.londonmet.ac.uk/id/eprint/431

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