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Return and volatility spillovers among CIVETS stock markets

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Author Info

  • Korkmaz, Turhan
  • Çevik, Emrah İ.
  • Atukeren, Erdal

Abstract

Coined in 2009, the CIVETS refers to Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa as a new group of frontier emerging markets with young and growing populations and dynamic economies. We provide a first look into the return and volatility spillovers between the CIVETS countries by employing causality-in-mean and causality-in-variance tests. The empirical results indicate that the contemporaneous spillover effects are generally low. Nevertheless, CIVETS stock markets may exhibit higher degrees of co-movements at times. The structure of the causal relationships further suggests the presence of intra-regional and inter-regional return and volatility interdependence effects.

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File URL: http://www.sciencedirect.com/science/article/pii/S1566014112000143
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Bibliographic Info

Article provided by Elsevier in its journal Emerging Markets Review.

Volume (Year): 13 (2012)
Issue (Month): 2 ()
Pages: 230-252

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Handle: RePEc:eee:ememar:v:13:y:2012:i:2:p:230-252

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Web page: http://www.elsevier.com/locate/inca/620356

Related research

Keywords: CIVETS; Stock markets; Spillovers; Causality-in-variance; Volatility breaks; Emerging markets;

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