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Global and Regional Spillovers in Emerging Stock Markets : A Multivariate Garch-in-Mean Analysis
Beirne, John - 2013
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/10013095613
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Global and Regional Spillovers in Emerging Stock Markets : A Multivariate Garch-in-Mean Analysis
Beirne, John - 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/10013155090
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Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis
Beirne, John; Caporale, Guglielmo Maria; … - 2009
dominating in Asia, and regional spillovers in Latin America and the Middle East. -- volatility spillovers ; contagion ; stock …
Persistent link: https://www.econbiz.de/10003887350
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Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis
Beirne, John; Caporale, Guglielmo Maria; … - 2009
dominating in Asia, and regional spillovers in Latin America and the Middle East. -- Volatility spillovers ; contagion ; stock …
Persistent link: https://www.econbiz.de/10003891055
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Time Varying Volatility Indexes and Their Determinants : Evidence from Developed and Emerging Stock Markets
Prasad, Nalin - 2014
This paper investigates volatility spillovers across 16 stock markets of both advanced and emerging economies using the spillover index methodology put forward by Diebold and Yilmaz (2012). Realised volatility as defined by Andersen et al (2003) calculated from high frequency data form the basis...
Persistent link: https://www.econbiz.de/10013047334
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Emerging Markets Are Catching Up : Economic or Financial Integration?
Akbari, Amir - 2019
We propose a simple metric to measure two aspects of market integration, namely economic integration (defined as a common cash flow dynamic) and financial integration (defined as a common risk pricing dynamic) and then examine their evolution through time while controlling for volatility. We...
Persistent link: https://www.econbiz.de/10012901190
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Globalization, financial crisis and contagion : time-dynamic evidence from financial markets of developing countries
Asongu, Simplice A. - 2011
examines whether equity markets in emerging countries were vulnerable to contagion during the recent financial meltdown …
Persistent link: https://www.econbiz.de/10011410546
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Cross-market correlations and financial contagion from developed to emerging economies : a case of COVID-19 pandemic
Siddiqui, Taufeeque Ahmad; Khan, Mazia Fatima; Naushad, … - In: Economies : open access journal 10 (2022) 6, pp. 1-12
-varying multivariate DCC-GARCH model. The findings confirm that certain emerging markets are experiencing contagion from developed markets …
Persistent link: https://www.econbiz.de/10013256277
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The Anatomy of Sovereign Credit Contagion
Kalotychou, Elena - 2015
market. We study sovereign credit contagion through the immediate effects of credit events as defined by CDS spread jumps on …” contagion has been primarily a regional phenomenon, however, a global “slow-burn” spillover of credit events was also in force …
Persistent link: https://www.econbiz.de/10013019398
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Time-varying co-movements and contagion effects in asian sovereign CDS markets
Cho, Daehyoung; Choi, Kyongwook - In: Journal of East Asian economic integration 19 (2015) 4, pp. 357-379
We investigate interconnectedness and the contagion effect of default risk in Asian sovereign CDS markets since the … the Spillover Index model, we measure contagion probabilities of sovereign default risk in CDS markets of seven Asian … countries and find evidence of contagion effects among six of them; Japan is the exception. In addition, we find that these six …
Persistent link: https://www.econbiz.de/10011572880