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Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Beirne, John; Caporale, Guglielmo Maria; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009

transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature …

Persistent link: https://www.econbiz.de/10004963766

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Beirne, John; Caporale, Guglielmo Maria; … - CESifo - 2009

transmission mechanism—contagion—during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature …

Persistent link: https://www.econbiz.de/10005765747

Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-mean Analysis

Beirne, John; Caporale, Guglielmo Maria; … - CESifo - 2009

This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...

Persistent link: https://www.econbiz.de/10008596577

Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-Mean Analysis

Beirne, John; Caporale, Guglielmo Maria; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009

Persistent link: https://www.econbiz.de/10008461819

The 2011 Japanese earthquake, tsunami and nuclear crisis: Evidence of contagion from international financial markets

Asongu, Simplice A. - In: Journal of Financial Economic Policy 4 (2012) 4, pp. 340-353

study is to investigate if any contagion effect occurred in the immediate aftermath of the Japanese earthquake, tsunami and … heteroscedasticity biases based on correlation coefficients to examine if any contagion occurred across financial markets after the March … foreign exchange markets suffered from contagion, stock markets of Taiwan, Bahrain, Saudi Arabia and South Africa witnessed a …

Persistent link: https://www.econbiz.de/10010814920

Return and volatility spillovers among CIVETS stock markets

Korkmaz, Turhan; Çevik, Emrah İ.; Atukeren, Erdal - In: Emerging Markets Review 13 (2012) 2, pp. 230-252

Coined in 2009, the CIVETS refers to Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa as a new group of frontier emerging markets with young and growing populations and dynamic economies. We provide a first look into the return and volatility spillovers between the CIVETS countries...

Persistent link: https://www.econbiz.de/10011056986

When in Peril, Retrench: Testing the Portfolio Channel of Contagion

Broner, Fernando A.; Gelos, R. Gaston; Reinhart, Carmen M. - Barcelona Graduate School of Economics (Barcelona GSE) - 2005

contagion from crisis centers. …

Persistent link: https://www.econbiz.de/10010851351

When in peril, retrench: Testing the portfolio channel of contagion

Broner, Fernando; Gelos, R. Gaston; Reinhart, Carmen M. - Department of Economics and Business, Universitat … - 2003

contagion from crisis centers. …

Persistent link: https://www.econbiz.de/10005772251

Stock market interdependence, contagion, and the U.S. financial crisis: The case of emerging and frontier markets

Samarakoon, Lalith P. - In: Journal of International Financial Markets, … 21 (2011) 5, pp. 724-742

contagion of the U.S. financial crisis by constructing shock models for partially overlapping and non-overlapping markets. There … exists important bi-directional, yet asymmetric, interdependence and contagion in emerging markets, with important regional … variations. Interdependence is driven more by U.S. shocks, while contagion is driven more by emerging market shocks. Frontier …

Persistent link: https://www.econbiz.de/10010572103

VOLATILITY TRANSMISSION PATTERNS AND TERRORIST ATTACKS

Soler, Helena Chuliá; Felipe, Pilar Soriano; Climent, … - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2007

The objective of this study is to analyze volatility transmission between the US and Eurozone stock markets considering the effects of the September 11, March 11 and July 7 financial crises. In order to do this, we use a multivariate GARCH model and take into account the asymmetric volatility...

Persistent link: https://www.econbiz.de/10005731131