Volatility Spillover in Regional Emerging Stock Markets: A Structural Time-Series Approach

Talla Al-Deehani and Imad A. Moosa

Emerging Markets Finance and Trade, 2006, vol. 42, issue 4, 78-89

Abstract: Volatility spillovers among the stock markets of Bahrain, Kuwait, and Saudi Arabia are investigated using the concept of stochastic volatility and structural time-series modeling. The results reveal volatility spillovers, in which the Kuwait market plays the major role. It is also found that volatility in one market cannot be explained fully in terms of volatility in the other two markets, but that, out of the three markets, the Kuwait market seems to be the most influential. Some explanations are put forward for why this is the case.

Keywords: emerging markets; stochastic volatility; structural time-series modeling; volatility spillover (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (11)

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