Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/29819
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dc.contributor.authorBeirne, Johnen_US
dc.contributor.authorCaporale, Guglielmo Mariaen_US
dc.contributor.authorSchulze-Ghattas, Marianneen_US
dc.contributor.authorSpagnolo, Nicolaen_US
dc.date.accessioned2009-04-16en_US
dc.date.accessioned2010-02-04T13:06:55Z-
dc.date.available2010-02-04T13:06:55Z-
dc.date.issued2009en_US
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_US
dc.language.isoengen_US
dc.publisher|aDeutsches Institut für Wirtschaftsforschung (DIW) |cBerlinen_US
dc.relation.ispartofseries|aDiscussion papers // German Institute for Economic Research |x873en_US
dc.subject.jelF30en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordVolatility spilloversen_US
dc.subject.keywordcontagionen_US
dc.subject.keywordstock marketsen_US
dc.subject.keywordemerging marketsen_US
dc.subject.stwFinanzmarkten_US
dc.subject.stwAktienmarkten_US
dc.subject.stwInstitutioneller Wandelen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwSpillover-Effekten_US
dc.subject.stwAufstrebende Märkteen_US
dc.titleVolatility spillovers and contagion from mature to emerging stock marketsen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn597748926en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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