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Return and volatility spillovers among CIVETS stock markets

Turhan Korkmaz, Emrah Çevik () and Erdal Atukeren

Emerging Markets Review, 2012, vol. 13, issue 2, 230-252

Abstract: Coined in 2009, the CIVETS refers to Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa as a new group of frontier emerging markets with young and growing populations and dynamic economies. We provide a first look into the return and volatility spillovers between the CIVETS countries by employing causality-in-mean and causality-in-variance tests. The empirical results indicate that the contemporaneous spillover effects are generally low. Nevertheless, CIVETS stock markets may exhibit higher degrees of co-movements at times. The structure of the causal relationships further suggests the presence of intra-regional and inter-regional return and volatility interdependence effects.

Keywords: CIVETS; Stock markets; Spillovers; Causality-in-variance; Volatility breaks; Emerging markets (search for similar items in EconPapers)
JEL-codes: C32 F30 G11 G15 O16 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:13:y:2012:i:2:p:230-252

DOI: 10.1016/j.ememar.2012.03.003

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