Volatility Spillovers and Contagion From Mature to Emerging Stock Markets
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.In the absence of an agreed definition of turbulence in mature financial markets, we use the Chicago Board Options ... US Saamp;P 500 (VIX), a widely quoted indicator of market sentiment, to identify episodes of turbulence in mature stock markets.
| Title | : | Volatility Spillovers and Contagion From Mature to Emerging Stock Markets |
| Author | : | Guglielmo Maria Caporale, Marianne Schulze-Ghattas, John Beirne, Nicola Spagnolo |
| Publisher | : | International Monetary Fund - 2008-12-01 |
You must register with us as either a Registered User before you can Download this Book. You'll be greeted by a simple sign-up page.
Once you have finished the sign-up process, you will be redirected to your download Book page.
How it works:- 1. Register a free 1 month Trial Account.
- 2. Download as many books as you like (Personal use)
- 3. Cancel the membership at any time if not satisfied.
