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...
Gespeichert in:
| 1. Verfasser: | |
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| 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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| illustrated | Not Illustrated |
| index_date | 2024-07-03T20:13:25Z |
| indexdate | 2024-07-10T09:35:33Z |
| institution | BVB |
| isbn | 1451871449 9781451871449 |
| language | English |
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| oclc_num | 1337120265 |
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| record_format | marc |
| series2 | IMF Working Papers |
| 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 |
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