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dc.contributor.authorBeirne, Johnen
dc.contributor.authorCaporale, Guglielmo Mariaen
dc.contributor.authorSchulze-Ghattas, Marianneen
dc.contributor.authorSpagnolo, Nicolaen
dc.date.accessioned2009-10-21-
dc.date.accessioned2010-05-14T08:19:26Z-
dc.date.available2010-05-14T08:19:26Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x2794en
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.stwBörsenkursen
dc.subject.stwVolatilitäten
dc.subject.stwAktienmarkten
dc.subject.stwInternationaler Preiszusammenhangen
dc.subject.stwAnsteckungseffekten
dc.subject.stwInternationaler Finanzmarkten
dc.subject.stwAufstrebende Märkteen
dc.subject.stwWelten
dc.subject.stwSchwellenländeren
dc.titleGlobal and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis-
dc.typeWorking Paperen
dc.identifier.ppn610751859en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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