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Volatility Spillover Effect from Volatility Implied Index to Emerging Markets

Author

Listed:
  • 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

Suggested Citation

  • Turhan Korkmaz & Emrah Ismail Çevik, 2009. "Volatility Spillover Effect from Volatility Implied Index to Emerging Markets," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 3(2), pages 87-106.
  • Handle: RePEc:bdd:journl:v:3:y:2009:i:2:p:87-106
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    References listed on IDEAS

    as
    1. Lecraw, Donald J, 1977. "Direct Investment by Firms from Less Developed Countries," Oxford Economic Papers, Oxford University Press, vol. 29(3), pages 442-457, November.
    2. Jeffrey S Arpan & Edward B Flowers & David A Ricks, 1981. "Foreign Direct Investment in the United States: The State of Knowledge in Research," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 12(1), pages 137-154, March.
    3. John D Daniels, 1970. "Recent Foreign Direct Manufacturing Investment in the United States," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 1(1), pages 125-132, March.
    4. Krishna Kumar & Kee Young Kim, 1984. "The Korean Manufacturing Multinationals," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 15(1), pages 45-61, March.
    5. Riad A Ajami & David A Ricks, 1981. "Motives of Non-American Firms Investing in the United States," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 12(3), pages 25-34, September.
    6. Robert Grosse & Len J Trevino, 1996. "Foreign Direct Investment in the United States: An Analysis by Country of Origin," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 27(1), pages 139-155, March.
    7. Kálmán Kalotay, 2004. "Outward FDI from Central and Eastern European Countries," Economic Change and Restructuring, Springer, vol. 37(2), pages 141-172, June.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

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

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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