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Title: Volatility spillovers and contagion from mature to emerging stock markets
Authors: Beirne, J
Caporale, GM
Schulze-Ghattas, M
Spagnolo, N
Keywords: Volatility spillovers; contagion; stock markets; emerging markets
Issue Date: 2009
Publisher: Brunel University
Citation: Economics and Finance Working papers, Brunel University, 09-05.
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.
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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