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Volatility Spillover Effect from Volatility Implied Index to Emerging Markets

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  • Turhan Korkmaz
  • Emrah Ismail Çevik

Abstract

This study has investigated the effect of VIX, created as an implied volatility in the US, on 15 emerging stock markets with the application of GJR-GARCH model. According to the results obtained, the emerging stock markets have leverage effect in conditional variance and emerging bad news concludes that volatility further increases. The results of the analysis show that implied volatility index affect Argentina, Brazil, Mexico, Chili, Peru, Hungary, Poland, Turkey, Malaysia, Thailand and Indonesia stock markets through volatility increases

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Bibliographic Info

Article provided by Banking Regulation and Supervision Agency in its journal Journal of Banking and Financial Markets.

Volume (Year): 3 (2009)
Issue (Month): 2 ()
Pages: 87-106

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Handle: RePEc:bdd:journl:v:3:y:2009:i:2:p:87-106

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Keywords: Implied Volatility; Spillover Effect; GJR-GARCH Model; Emerging Markets;

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