The Research on the Interactions between the Emerging and Developed Markets: From Region and Structural Break Perspectives

Jung-Bin Su
Additional contact information
Jung-Bin Su: School of Finance, Qilu University of Technology, No. 3501, Daxue Road, Changqing District, Jinan 250353, China

Mathematics, 2022, vol. 10, issue 8, 1-38

Abstract: This study utilizes a bivariate BEKK-EGARCH model with the setting of a structural break to investigate whether the interactions between stock indices in emerging and developed markets are different in terms of region, emerging stock indices, and subperiod. Then, this study investigated how the results of interactions vary with geographical location, emerging stock indices, and subperiod. Empirical results show that the interactions between emerging and developed markets indeed vary with geographical location and emerging stock indices, but are almost the same in the two subperiods. For example, for the paired stock indices in ‘Asia-America’ and ‘Asia-Europe’, or related to ‘XU100’, ‘SSE’ and ‘BSE’, the developed market mainly spills into the emerging market in terms of return and volatility. The findings from these empirical results can help investors and fund managers undertake different investment strategies in different regions and subperiods, and make effective investments.

Keywords: bivariate EGARCH model; emerging market; developed market; return spillover; volatility spillover; structural break (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2227-7390/10/8/1246/pdf (application/pdf)
https://www.mdpi.com/2227-7390/10/8/1246/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jmathe:v:10:y:2022:i:8:p:1246-:d:790708

Access Statistics for this article

Mathematics is currently edited by Ms. Emma He

More articles in Mathematics from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().