Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis
This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR-GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of possible transmission channels: spillovers in mean returns, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results suggest that spillovers from regional and global markets are present in the vast majority of EMEs. However, the nature of cross-market linkages varies across countries and regions. While spillovers in mean returns dominate in emerging Asia and Latin America, spillovers in variance appear to play a key role in emerging Europe. There is also some evidence of cross-market GARCH-in-mean effects. The relative importance of regional and global spillovers varies too, with global spillovers dominating in Asia, and regional spillovers in Latin America and the Middle East.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Chen, Gong-meng & Firth, Michael & Meng Rui, Oliver, 2002. "Stock market linkages: Evidence from Latin America," Journal of Banking & Finance, Elsevier, vol. 26(6), pages 1113-1141, June.
- G. William Schwert, 1989.
"Stock Volatility and the Crash of '87,"
NBER Working Papers
2954, National Bureau of Economic Research, Inc.
- Xiao-Ming Li & Lawrence Rose, 2007. "Market integration and extreme co-movements in APEC emerging equity markets," Applied Financial Economics, Taylor & Francis Journals, vol. 18(2), pages 99-113.
- Andrew Worthington & Helen Higgs, 2004. "Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(1), pages 71-80.
- King, Mervyn A & Wadhwani, Sushil, 1990.
"Transmission of Volatility between Stock Markets,"
Review of Financial Studies,
Society for Financial Studies, vol. 3(1), pages 5-33.
- Bekaert, Geert & Harvey, Campbell R., 1997.
"Emerging equity market volatility,"
Journal of Financial Economics,
Elsevier, vol. 43(1), pages 29-77, January.
- Fratzscher, M., 2001.
"Financial Market Integration in Europe: On the Effects of EMU on Stock Markets,"
48, Quebec a Montreal - Recherche en gestion.
- Fratzscher, Marcel, 2002. "Financial Market Integration in Europe: On the Effects of EMU on Stock Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(3), pages 165-93, July.
- Fratzscher, Marcel, 2001. "Financial market integration in Europe: on the effects of EMU on stock markets," Working Paper Series 0048, European Central Bank.
- Geert Bekaert & Campbell R. Harvey, 2003.
"Market Integration and Contagion,"
NBER Working Papers
9510, National Bureau of Economic Research, Inc.
- John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2013.
"Volatility Spillovers and Contagion from Mature to Emerging Stock Markets,"
Review of International Economics,
Wiley Blackwell, vol. 21(5), pages 1060-1075, November.
- John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," CESifo Working Paper Series 2545, CESifo Group Munich.
- Beirne, John & Caporale, Guglielmo Maria & Schulze-Ghattas, Marianne & Spagnolo, Nicola, 2009. "Volatility spillovers and contagion from mature to emerging stock markets," Working Paper Series 1113, European Central Bank.
- John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," Discussion Papers of DIW Berlin 873, DIW Berlin, German Institute for Economic Research.
- Guglielmo Maria Caporale & Marianne Schulze-Ghattas & John Beirne & Nicola Spagnolo, 2008. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," IMF Working Papers 08/286, International Monetary Fund.
- Engle, Robert F & Ng, Victor K, 1993.
" Measuring and Testing the Impact of News on Volatility,"
Journal of Finance,
American Finance Association, vol. 48(5), pages 1749-78, December.
- Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
- Guglielmo Caporale & Nikitas Pittis & Nicola Spagnolo, 2006. "Volatility transmission and financial crises," Journal of Economics and Finance, Springer, vol. 30(3), pages 376-390, September.
- Geert Bekaert & Campbell R. Harvey, 1997.
"Foreign Speculators and Emerging Equity Markets,"
William Davidson Institute Working Papers Series
79, William Davidson Institute at the University of Michigan.
- Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi, 2008. "A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets," Econometrics Working Papers Archive wp2008_09, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Lin, Wen-Ling & Engle, Robert F & Ito, Takatoshi, 1994. "Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility," Review of Financial Studies, Society for Financial Studies, vol. 7(3), pages 507-38.
- Geert Bekaert & Campbell R. Harvey, 1994.
"Time-Varying World Market Integration,"
NBER Working Papers
4843, National Bureau of Economic Research, Inc.
- Nicholas Tay & Zhen Zhu, 2000. "Correlations in Returns and Volatilities in Pacific-Rim Stock Markets," Open Economies Review, Springer, vol. 11(1), pages 27-47, January.
- Theodossiou, Panayiotis & Lee, Unro, 1993. "Mean and Volatility Spillovers across Major National Stock Markets: Further Empirical Evidence," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 16(4), pages 337-50, Winter.
- Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
- Jian Yang & Cheng Hsiao & Qi Li & Zijun Wang, 2005.
"The Emerging Market Crisis and Stock Market Linkages: Further Evidence,"
IEPR Working Papers
05.27, Institute of Economic Policy Research (IEPR).
- Cheng Hsiao & Zijun Wang & Jian Yang & Qi Li, 2006. "The emerging market crisis and stock market linkages: further evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 727-744.
- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
- Chelley-Steeley, Patricia L., 2005. "Modeling equity market integration using smooth transition analysis: A study of Eastern European stock markets," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 818-831, September.
- Ng, Angela, 2000. "Volatility spillover effects from Japan and the US to the Pacific-Basin," Journal of International Money and Finance, Elsevier, vol. 19(2), pages 207-233, April.
- gulielmo maria caporale & rea cipollini & nicola spagnolo, 2004.
"Testing For Contagion: A Conditional Correlation Analysis,"
- Caporale, Guglielmo Maria & Cipollini, Andrea & Spagnolo, Nicola, 2005. "Testing for contagion: a conditional correlation analysis," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 476-489, June.
- Scheicher, Martin, 2001. "The Comovements of Stock Markets in Hungary, Poland and the Czech Republic," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(1), pages 27-39, January.
When requesting a correction, please mention this item's handle: RePEc:eee:ememar:v:11:y:2010:i:3:p:250-260. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.