Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/29819 
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dc.contributor.authorBeirne, Johnen
dc.contributor.authorCaporale, Guglielmo Mariaen
dc.contributor.authorSchulze-Ghattas, Marianneen
dc.contributor.authorSpagnolo, Nicolaen
dc.date.accessioned2009-04-16-
dc.date.accessioned2010-02-04T13:06:55Z-
dc.date.available2010-02-04T13:06:55Z-
dc.date.issued2009-
dc.identifier.urihttp://hdl.handle.net/10419/29819-
dc.description.abstractThis 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
dc.language.isoengen
dc.publisher|aDeutsches Institut für Wirtschaftsforschung (DIW) |cBerlinen
dc.relation.ispartofseries|aDIW Discussion Papers |x873en
dc.subject.jelF30en
dc.subject.jelG15en
dc.subject.ddc330en
dc.subject.keywordVolatility spilloversen
dc.subject.keywordcontagionen
dc.subject.keywordstock marketsen
dc.subject.keywordemerging marketsen
dc.subject.stwFinanzmarkten
dc.subject.stwAktienmarkten
dc.subject.stwInstitutioneller Wandelen
dc.subject.stwVolatilitäten
dc.subject.stwSpillover-Effekten
dc.subject.stwAufstrebende Märkteen
dc.titleVolatility spillovers and contagion from mature to emerging stock markets-
dc.type|aWorking Paperen
dc.identifier.ppn597748926en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:diw:diwwpp:dp873en

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