Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

John Beirne, Guglielmo Maria Caporale, Marianne Schulze-Ghattas and Nicola Spagnolo

No 873, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

Abstract: This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets.

Keywords: Volatility spillovers; contagion; stock markets; emerging markets (search for similar items in EconPapers)
JEL-codes: F30 G15 (search for similar items in EconPapers)
Pages: 24 p.
Date: 2009
New Economics Papers: this item is included in nep-ets and nep-fmk
References: Add references at CitEc
Citations: View citations in EconPapers (51)

Downloads: (external link)
https://www.diw.de/documents/publikationen/73/diw_01.c.96648.de/dp873.pdf (application/pdf)

Related works:
Journal Article: Volatility Spillovers and Contagion from Mature to Emerging Stock Markets (2013)
Working Paper: Volatility Spillovers and Contagion from Mature to Emerging Stock Markets (2009)
Working Paper: Volatility spillovers and contagion from mature to emerging stock markets (2009)
Working Paper: Volatility Spillovers and Contagion from Mature to Emerging Stock Markets (2008)
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:diw:diwwpp:dp873

Access Statistics for this paper

More papers in Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by Bibliothek ().