Verfügbarkeit: Volatility Spillovers and Contagion From Mature to Emerging Stock Markets

Volatility Spillovers and Contagion From Mature to Emerging Stock Markets:

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 m...

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1. Verfasser:	Caporale, Guglielmo Maria (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Washington, D.C International Monetary Fund 2008
Schriftenreihe:	IMF Working Papers Working Paper No. 08/286
Online-Zugang:	UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext
Zusammenfassung:	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
Beschreibung:	1 Online-Ressource (40 p)
ISBN:	1451871449 9781451871449

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spelling	Caporale, Guglielmo Maria Verfasser aut Volatility Spillovers and Contagion From Mature to Emerging Stock Markets Caporale, Guglielmo Maria Washington, D.C International Monetary Fund 2008 1 Online-Ressource (40 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 08/286 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 Online-Ausg Beirne, John Sonstige oth Schulze-Ghattas, Marianne Sonstige oth Spagnolo, Nicola Sonstige oth http://elibrary.imf.org/view/IMF001/09781-9781451871449/09781-9781451871449/09781-9781451871449.xml Verlag URL des Erstveröffentlichers Volltext
spellingShingle	Caporale, Guglielmo Maria Volatility Spillovers and Contagion From Mature to Emerging Stock Markets
title	Volatility Spillovers and Contagion From Mature to Emerging Stock Markets
title_auth	Volatility Spillovers and Contagion From Mature to Emerging Stock Markets
title_exact_search	Volatility Spillovers and Contagion From Mature to Emerging Stock Markets
title_exact_search_txtP	Volatility Spillovers and Contagion From Mature to Emerging Stock Markets
title_full	Volatility Spillovers and Contagion From Mature to Emerging Stock Markets Caporale, Guglielmo Maria
title_fullStr	Volatility Spillovers and Contagion From Mature to Emerging Stock Markets Caporale, Guglielmo Maria
title_full_unstemmed	Volatility Spillovers and Contagion From Mature to Emerging Stock Markets Caporale, Guglielmo Maria
title_short	Volatility Spillovers and Contagion From Mature to Emerging Stock Markets
title_sort	volatility spillovers and contagion from mature to emerging stock markets
url	http://elibrary.imf.org/view/IMF001/09781-9781451871449/09781-9781451871449/09781-9781451871449.xml
work_keys_str_mv	AT caporaleguglielmomaria volatilityspilloversandcontagionfrommaturetoemergingstockmarkets AT beirnejohn volatilityspilloversandcontagionfrommaturetoemergingstockmarkets AT schulzeghattasmarianne volatilityspilloversandcontagionfrommaturetoemergingstockmarkets AT spagnolonicola volatilityspilloversandcontagionfrommaturetoemergingstockmarkets

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