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Volatility spillovers and contagion from mature to emerging stock markets
Beirne, John; Caporale, Guglielmo Maria; … - 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/10010265708
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Volatility spillovers and contagion from mature to emerging stock markets
Beirne, John; Caporale, Guglielmo Maria; … - 2009
This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission mechanism during turbulences in mature markets, and examines the implications for conditional correlations between mature and emerging market returns. Tri-variate GARCH-BEKK...
Persistent link: https://www.econbiz.de/10011605159
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Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis
Beirne, John; Caporale, Guglielmo Maria; … - 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/10010265964
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Global and regional spillovers in emerging stock markets: a multivariate GARCH-in-mean analysis
Beirne, John; Caporale, Guglielmo Maria; … - 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/10010271150
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Measuring financial asset return and volatility spillovers, with application to global equity markets
Diebold, Francis X.; Yilmaz, Kamil - 2007
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...
Persistent link: https://www.econbiz.de/10010298351
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Stock market integration between three CEECs, Russia and the UK
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining … spillovers between the three CEECs considered and the UK (contagion). …
Persistent link: https://www.econbiz.de/10010270472
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Privatisation, political risk and stock market development in emerging economies
Perotti, Enrico C.; van Oijen, Pieter - 1999
This paper investigates whether privatisation in emerging economies has a significant indirect effect on local stock market development through the resolution of political risk. We argue that a sustained privatisation programme represents a major political test which gradually resolves...
Persistent link: https://www.econbiz.de/10011608502
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Investigating spillover effects between foreign exchange rate volatility and commodity price volatility in Uganda
Katusiime, Lorna - In: Economies 7 (2019) 1, pp. 1-17
This study investigates the impact of commodity price volatility spillovers on financial sector stability. Specifically, the study investigates the spillover effects between oil and food price volatility and the volatility of a key macroeconomic indicator of importance to financial stability:...
Persistent link: https://www.econbiz.de/10013199514
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Financial Integration into EU: The Romanian Case
Bozkurt, İbrahim; Akman, Engin - In: Amfiteatru Economic Journal 18 (2016) 42, pp. 269-285
The aim of this study is to investigate the determinants of integration between stock market of Romania and other stock markets of European Union (EU) countries. Correlations between the stock returns represent the level of integration between the stock markets. Empirical analysis are performed...
Persistent link: https://www.econbiz.de/10011725027
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Interdependence and contagion in global asset markets
Beirne, John; Gieck, Jana - 2012
This paper provides an empirical assessment of interdependence and contagion across three asset classes (bonds, stocks …. For emerging economies, these within-market effects mostly apply to the equity market. Contagion effects within-market are … most notable in Latin America and Emerging Asia for equities. Cross-market contagion is identified from global bonds to …
Persistent link: https://www.econbiz.de/10011605525