Arbeitspapier
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: DIW Discussion Papers ; No. 873
- Klassifikation
-
Wirtschaft
International Finance: General
International Financial Markets
- Thema
-
Volatility spillovers
contagion
stock markets
emerging markets
Finanzmarkt
Aktienmarkt
Institutioneller Wandel
Volatilität
Spillover-Effekt
Aufstrebende Märkte
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Beirne, John
Caporale, Guglielmo Maria
Schulze-Ghattas, Marianne
Spagnolo, Nicola
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsches Institut für Wirtschaftsforschung (DIW)
- (wo)
-
Berlin
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Beirne, John
- Caporale, Guglielmo Maria
- Schulze-Ghattas, Marianne
- Spagnolo, Nicola
- Deutsches Institut für Wirtschaftsforschung (DIW)
Entstanden
- 2009
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