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A study of linkages between frontier markets and the U.S. equity markets using multivariate GARCH and transfer entropy

Mary Schmid Daugherty and Thadavillil Jithendranathan

Journal of Multinational Financial Management, 2015, vol. 32-33, 95-115

Abstract: This paper studies the integration of 20 frontier equity markets with the U.S. equity markets using variance ratios, conditional correlations and transfer entropies. The results show considerable regional variation in the level of integration. The volatility transfers, conditional correlations and transfer entropy are significantly affected by the housing market crisis of 2008–2009. The European debt crisis of 2011–2012 has less significant impact on the integration measures.

Keywords: Frontier markets; Transfer entropy; Dynamic conditional correlation; Contagion; Housing market crisis; European debt crisis (search for similar items in EconPapers)
JEL-codes: F21 F22 G11 G13 G14 (search for similar items in EconPapers)
Date: 2015
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Handle: RePEc:eee:mulfin:v:32-33:y:2015:i::p:95-115