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A study of linkages between frontier markets and the U.S. equity markets using multivariate GARCH and transfer entropy

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  • Daugherty, Mary Schmid
  • Jithendranathan, Thadavillil

Abstract

This paper studies the integration of 20 frontier equity markets with the U.S. equity markets using variance ratios, conditional correlations and transfer entropies. The results show considerable regional variation in the level of integration. The volatility transfers, conditional correlations and transfer entropy are significantly affected by the housing market crisis of 2008–2009. The European debt crisis of 2011–2012 has less significant impact on the integration measures.

Suggested Citation

  • Daugherty, Mary Schmid & Jithendranathan, Thadavillil, 2015. "A study of linkages between frontier markets and the U.S. equity markets using multivariate GARCH and transfer entropy," Journal of Multinational Financial Management, Elsevier, vol. 32, pages 95-115.
  • Handle: RePEc:eee:mulfin:v:32-33:y:2015:i::p:95-115
    DOI: 10.1016/j.mulfin.2015.10.003
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    References listed on IDEAS

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    Cited by:

    1. Yang, Pengbo & Shang, Pengjian & Lin, Aijing, 2017. "Financial time series analysis based on effective phase transfer entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 398-408.
    2. Gannon, Gerard L. & Thuraisamy, Kannan S., 2017. "Sovereign risk and the impact of crisis: Evidence from Latin AmericaAuthor-Name: Batten, Jonathan A," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 328-350.
    3. repec:eee:ecofin:v:46:y:2018:i:c:p:103-113 is not listed on IDEAS
    4. repec:eee:phsmap:v:516:y:2019:i:c:p:543-551 is not listed on IDEAS
    5. Ji, Qiang & Marfatia, Hardik & Gupta, Rangan, 2018. "Information spillover across international real estate investment trusts: Evidence from an entropy-based network analysis," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 103-113.

    More about this item

    Keywords

    Frontier markets; Transfer entropy; Dynamic conditional correlation; Contagion; Housing market crisis; European debt crisis;

    JEL classification:

    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F22 - International Economics - - International Factor Movements and International Business - - - International Migration
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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