Global and Regional Spillovers in Emerging Stock Markets: A Multivariate Garch-in-Mean Analysis
By J. Beirne, Guiglielmo Maria Caporale, Marianne Schulze-Ghattas, Nicola Spagnolo. Social Science Research Network, 2010
228 citations recorded by the source corpus.
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 possible transmission channels: spillovers in mean returns, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results suggest that spillovers from regional and global markets are present in the vast majority of EMEs. However, the nature of cross-market linkages varies across countries and regions. While spillovers in mean returns dominate in emerging Asia and Latin America, spillovers in variance appear to play a key role in emerging Europe. There is also some evidence of cross-market GARCH-in-mean effects. The relative importance of regional and global spillovers varies too, with global spillovers dominating in Asia, and regional spillovers in Latin America and the Middle East.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/849b556f204d4e74be7a1342ce6f2029c12ff9eb
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In Economics and Econometrics
- Sang Hoon Kang
- Walid Mensi
- Duc Khuong Nguyen
- Shawkat Hammoudeh
- George Filis
- Mohamed Arouri
- Stavros Degiannakis *
- Perry Sadorsky
In Finance
- Duc Khuong Nguyen
- Walid Mensi
- Sang Hoon Kang
- Shawkat Hammoudeh
- George Filis
- Mohamed Arouri
- Stavros Degiannakis *
- Perry Sadorsky
Citations in the corpus
- Global financial crisis and spillover effects among the U.S. and BRICS stock markets (2016, methodology): “By applying the trivariate VAR-GARCH models for 41 emerging markets in Asia, Europe, Latin America, and the Middle East and North Africa (MENA), Beirne et al. (2010) find volatility spillovers from regional and global markets to the majority of emerging markets.”