Risk Spillover Between the GIPSI Economies and Egypt, Saudi Arabia, and Turkey

Dilip Kumar

Emerging Markets Finance and Trade, 2015, vol. 51, issue 6, 1193-1208

Abstract: In this article, we examine the upside and downside risk spillover effects between the GIPSI economies (Greece, Ireland, Portugal, Spain, and Italy) and Egypt, Saudi Arabia, and Turkey using a kernel-based test as proposed by Hong et al. (2009). The results reveal that there exists a two-way as well as one-way downside risk spillover for most of the pairs between the GIPSI economies and Egypt, Saudi Arabia, and Turkey. However, we find significant two-way upside risk spillover effects between Egypt and Ireland, Italy, and Spain. The one-way upside risk spillover is significant only from Ireland, Italy, and Spain to Egypt.

Date: 2015
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DOI: 10.1080/1540496X.2015.1080520

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