Artikel
Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies
This paper investigates linkages among equity market returns and volatility spillovers in the following countries: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies are applied to daily data on country exchange-traded funds (ETF) based on the MSCI indices from 31 March 2011 to 11 March 2016. The results of the analysis show the existence of significant co-movements of returns among the countries in the sample. ETF returns in Germany, UK, and Russia affect returns in all of the other sample countries. Implications of these findings are explored in terms of portfolio diversification. In addition, the highest volatilities are exhibited by Russia and Turkey. On the other hand, the UK and the Chinese markets have the lowest volatilities. Also, there is a strong evidence of volatility spillovers. All of the countries in the sample, with the exception of UK and Turkey, experience volatility spillovers from other markets. Finally, because of the risk-return trade-off, we analyzed the effect of volatility of the market on its returns and found that only in the UK volatility of the market had a positive effect on its future returns: that an increase in volatility leads to a rise in future ETF returns in the UK.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 4 ; Year: 2016 ; Issue: 1 ; Pages: 1-18 ; Abingdon: Taylor & Francis
- Klassifikation
-
Wirtschaft
Financial Crises
Portfolio Choice; Investment Decisions
International Financial Markets
Financial Econometrics
- Thema
-
ETFs returns
volatility persistence
volatility spillovers
MARMA
GARCH
GARCH-in-mean
EGARCH
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Dedi, Lidija
Yavas, Burhan F.
- Ereignis
-
Veröffentlichung
- (wer)
-
Taylor & Francis
- (wo)
-
Abingdon
- (wann)
-
2016
- DOI
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doi:10.1080/23322039.2016.1266788
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Dedi, Lidija
- Yavas, Burhan F.
- Taylor & Francis
Entstanden
- 2016
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