A study of linkages between frontier markets and the U.S. equity markets using multivariate GARCH and transfer entropy
Mary Schmid Daugherty and
Journal of Multinational Financial Management, 2015, vol. 32-33, 95-115
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)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:32-33:y:2015:i::p:95-115
Access Statistics for this article
Journal of Multinational Financial Management is currently edited by I. Mathur and G. G. Booth
More articles in Journal of Multinational Financial Management from Elsevier
Series data maintained by Dana Niculescu ().