Volatility Spillover Effect from Volatility Implied Index to Emerging Markets

Turhan Korkmaz and Emrah Çevik

Journal of BRSA Banking and Financial Markets, 2009, vol. 3, issue 2, 87-106

Abstract: This study has investigated the effect of VIX, created as an implied volatility in the US, on 15 emerging stock markets with the application of GJR-GARCH model. According to the results obtained, the emerging stock markets have leverage effect in conditional variance and emerging bad news concludes that volatility further increases. The results of the analysis show that implied volatility index affect Argentina, Brazil, Mexico, Chili, Peru, Hungary, Poland, Turkey, Malaysia, Thailand and Indonesia stock markets through volatility increases

Keywords: Implied Volatility; Spillover Effect; GJR-GARCH Model; Emerging Markets (search for similar items in EconPapers)
JEL-codes: C22 G15 G17 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:bdd:journl:v:3:y:2009:i:2:p:87-106

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