Time-varying Return and Volatility Spillover among EAGLEs Stock Markets: A Multivariate GARCH Analysis

Usman M. Umer, Metin Coskun, Kasim Kiraci ()
Additional contact information
Usman M. Umer, Metin Coskun, Kasim Kiraci: Anadolu University, Turkey

Journal of Finance and Economics Research, 2018, vol. 3, issue 1, 23-42

Abstract: This study investigates the presence of return and volatility spillover across EAGLEs stock markets, namely China, India, Indonesia, Russia, Brazil, Turkey and Mexico. A multivariate GARCH DCC and BEKK frameworks are employed by classifying the total sample (i.e. from January 2002 to February 2017) into three sub-periods according to the 2008 Global financial crisis. The result shows a significant and positive spillover effect among stock markets in the pre-crisis and post-crisis periods. The transmission of spillover from external markets intensely influenced by US stock market. Furthermore, strong inter-connection and channel of spread observed among EAGLEs stock market during the post-crisis period.

Keywords: Multivariate GARCH; conditional correlation; spillover effect; EAGLEs; stock markets (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations:

Downloads: (external link)
http://geistscience.com/JFER/Issue1-18/Article3/JFER1803102.pdf (application/pdf)

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:gei:jnlfer:v:3:y:2018:i:1:p:23-42

Access Statistics for this article

Journal of Finance and Economics Research is currently edited by Imtiaz ARIF and Syed Ali Raza

More articles in Journal of Finance and Economics Research from Geist Science, Iqra University, Faculty of Business Administration
Bibliographic data for series maintained by Imtiaz ARIF ().