Beirne, John, Caporale, Guglielmo Maria, 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
|
Text
CentreForInternationalCapitalMarketsDiscussionPapers_2009-05_p01-24.pdf - Published Version Download (299kB) | Preview |
Abstract / Description
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: | 19 May 2020 08:23 |
URI: | https://repository.londonmet.ac.uk/id/eprint/431 |
Downloads
Downloads per month over past year
Downloads each year
Actions (login required)
![]() |
View Item |