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Deutsches Institut für Wirtschaftsforschung (DIW), Berlin >
DIW-Diskussionspapiere >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/29819
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Beirne, John | | en_US |
| dc.contributor.author | | Caporale, Guglielmo Maria | | en_US |
| dc.contributor.author | | Schulze-Ghattas, Marianne | | en_US |
| dc.contributor.author | | Spagnolo, Nicola | | en_US |
| dc.date.accessioned | | 2009-04-16 | | en_US |
| dc.date.accessioned | | 2010-02-04T13:06:55Z | | - |
| dc.date.available | | 2010-02-04T13:06:55Z | | - |
| dc.date.issued | | 2009 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/29819 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Deutsches Institut für Wirtschaftsforschung (DIW) Berlin | | en_US |
| dc.relation.ispartofseries | | Discussion papers // German Institute for Economic Research 873 | | en_US |
| dc.subject.jel | | F30 | | en_US |
| dc.subject.jel | | G15 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Volatility spillovers | | en_US |
| dc.subject.keyword | | contagion | | en_US |
| dc.subject.keyword | | stock markets | | en_US |
| dc.subject.keyword | | emerging markets | | en_US |
| dc.subject.stw | | Finanzmarkt | | en_US |
| dc.subject.stw | | Aktienmarkt | | en_US |
| dc.subject.stw | | Institutioneller Wandel | | en_US |
| dc.subject.stw | | Volatilität | | en_US |
| dc.subject.stw | | Spillover-Effekt | | en_US |
| dc.subject.stw | | Aufstrebende Märkte | | en_US |
| dc.title | | Volatility spillovers and contagion from mature to emerging stock markets | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 597748926 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Publikationen von Forscherinnen und Forschern des DIW DIW-Diskussionspapiere
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