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Return and volatility spillovers among CIVETS stock markets

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  • 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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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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Cited by:
  1. Awartani, Basel & Maghyereh, Aktham I. & Shiab, Mohammad Al, 2013. "Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 224-242.
  2. Abbas, Qaisar & Khan, Sabeen & Shah, Syed Zulfiqar Ali, 2013. "Volatility transmission in regional Asian stock markets," Emerging Markets Review, Elsevier, vol. 16(C), pages 66-77.
  3. Stolbov, Mikhail, 2014. "The causal linkages between sovereign CDS prices for the BRICS and major European economies," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 8(26), pages 1-43.
  4. Gilenko, Evgenii & Fedorova, Elena, 2014. "Internal and external spillover effects for the BRIC countries: Multivariate GARCH-in-mean approach," Research in International Business and Finance, Elsevier, vol. 31(C), pages 32-45.

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