Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/30424
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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.accessioned2009-10-21en_US
dc.date.accessioned2010-05-14T08:19:26Z-
dc.date.available2010-05-14T08:19:26Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/30424-
dc.description.abstractThis paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of possible transmission channels: spillovers in mean returns, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results suggest that spillovers from regional and global markets are present in the vast majority of EMEs. However, the nature of crossmarket linkages varies across countries and regions. While spillovers in mean returns dominate in emerging Asia and Latin America, spillovers in variance appear to play a key role in emerging Europe. There is also some evidence of cross-market GARCH-in-mean effects. The relative importance of regional and global spillovers varies too, with global spillovers dominating in Asia, and regional spillovers in Latin America and the Middle East.en_US
dc.language.isoengen_US
dc.publisher|aCenter for Economic Studies and Ifo Institute (CESifo) |cMunichen_US
dc.relation.ispartofseries|aCESifo Working Paper |x2794en_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.stwBörsenkursen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwAktienmarkten_US
dc.subject.stwInternationaler Preiszusammenhangen_US
dc.subject.stwAnsteckungseffekten_US
dc.subject.stwInternationaler Finanzmarkten_US
dc.subject.stwAufstrebende Märkteen_US
dc.subject.stwWelten_US
dc.subject.stwSchwellenländeren_US
dc.titleGlobal and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysisen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn610751859en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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