Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/29819 
Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
DIW Discussion Papers No. 873
Verlag: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
Zusammenfassung: 
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.
Schlagwörter: 
Volatility spillovers
contagion
stock markets
emerging markets
JEL: 
F30
G15
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
515.76 kB





Publikationen in EconStor sind urheberrechtlich geschützt.