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

Faruk Balli (), Syed Abul Basher, Hassan Ghassan () and Hassan R. Alhajhoj

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: 2014-02, Revised 2015-04-23
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Published in International Review of Economics and Finance Forthcoming (2015): pp. 1-25

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/63860/2/MPRA_paper_63860.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/92571/2/MPRA_paper_63860.pdf revised 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) Downloads
Working Paper: An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries (2015) Downloads
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