Volatility spillovers and contagion from mature to emerging stock markets

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: DIW Discussion Papers ; No. 873

Classification and Topics

• Classification: Wirtschaft ; International Finance: General ; International Financial Markets
• Subject: Volatility spillovers ; contagion ; stock markets ; emerging markets ; Finanzmarkt ; Aktienmarkt ; Institutioneller Wandel ; Volatilität ; Spillover-Effekt ; Aufstrebende Märkte

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Beirne, John ; Caporale, Guglielmo Maria ; Schulze-Ghattas, Marianne ; Spagnolo, Nicola
• Event: Veröffentlichung
• (who): Deutsches Institut für Wirtschaftsforschung (DIW)
• (where): Berlin
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/29819
• Last update: 10.03.2025, 11:42 AM CET