An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries

Faruk Balli, Basher Syed Abul, Hassan Ghassan () and Hajhoj Hassan

MPRA Paper from University Library of Munich, Germany

Abstract: This study investigates the return spillovers and volatility spillovers from developed markets (e.g., Europe, Japan and the US) into the financial markets of selected emerging countries in Asia and the Middle East and North Africa (MENA) region. Based on constant and trend spillover models, we find evidence of significant spillover effects from developed markets to emerging markets. The results from variance ratios indicate the dominance of US shocks across all emerging markets, though the effect varies widely among countries. New to these literature, we conduct an empirical analysis quantifying the underlying determinants affecting the extent of shock spillovers. The results show that bilateral factors such as trade volume, portfolio investment and distance are significant in explaining the spillover effects.

Keywords: Return spillovers; Volatility spillovers; Market integration (search for similar items in EconPapers)
JEL-codes: F15 F36 G12 (search for similar items in EconPapers)
Date: 2015-04-23
New Economics Papers: this item is included in nep-ara and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (36)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/63847/1/MPRA_paper_63847.pdf original version (application/pdf)

Related works:
Journal Article: An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern countries (2015)
Working Paper: An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries (2015)
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:pra:mprapa:63847

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().