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Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

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
Table Of Contents
Contents; I. Introduction; II. Methodology; A. Basic Model; B. Volatility Contagion; III. Data Set and Identification of Turbulent Episodes in Mature Markets; A. Data Set; Text Tables; Table 1. Sample of Emerging Market Economies; Text Figures; Figure 1. Weekly Stock Market Returns: Mature and Emerging Markets; B. Identification of Turbulent Episodes in Mature Markets; Table 2. Episodes of Turbulence in Mature Stock Markets; IV. Empirical Analysis; A. Hypotheses Tested; B. Discussion of Results; Table 3. Likelihood Ratio Tests of Restrictions on Spillover Parameters
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (42 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781462382019

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