Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

By J. Beirne, Guiglielmo Maria Caporale, Marianne Schulze-Ghattas, Nicola Spagnolo. Social Science Research Network, 2008

294 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a8aa50cf4bafdd29c29d8b61a3b2a9b57273ce7b

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Citations in the corpus

MGARCH models: Trade-off between feasibility and flexibility (2018, background): “…Engle et al. (1990), Comte and Lieberman (2000), Hafner and Herwartz (2006, 2008b), Bai and Chen (2008), Diebold and Yilmaz (2009), Nakatani and Teräsvirta (2009), Conrad and Karanasos (2010), Beirne et al. (2013) and Aboura and Chevallier (2015) for studies related with volatility feedbacks.”
Dynamic Herding Behavior in Pacific-Basin Markets: Evidence and Implications (2013, background): “Based on the evidence from the literature (Beirne et al., 2009), we anticipate that 2 ˆ t σ”
Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence? (2014, background): “Such a broad view on contagion has also been taken in the papers of Chakrabarti and Roll (2002), Chiang and Wang (2011) or Beirne et al. (2013).”
Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillovers (2015, unknown): “Similar to volatility, much of the recent research on volatility spillovers employs versions of the GARCH model (for example Beirne et al. (2013); Li and Giles (2013); Lin (2013), among others). However, the ability to measure spillovers by those types of models is limited, namely in their lack of s”
Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures (2016, background): “…is the investigation of volatility spillovers in the sample which is not restricted only to developed markets (see, e.g., Beirne & Fratzscher, 2013; Beirne et al, 2013; Cho, Hyde & Nguyen, 2014; Diebold & Yilmaz, 2009, 2012; Singh, Kumar & Pandey, 2010; Syriopoulos, 2007; Worthington & Higgs,…”