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Title:Volatility spillovers and contagion from mature to emerging stock markets PDF Logo
Authors:Beirne, John
Caporale, Guglielmo Maria
Schulze-Ghattas, Marianne
Spagnolo, Nicola
Issue Date:2009
Series/Report no.:CESifo working paper 2545
Abstract:This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanismcontagionduring 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.
Subjects:Volatility spillovers
contagion
stock markets
emerging markets
JEL:F30
G15
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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