On international financial spillovers to frontier markets
We explore the degree to which stock index returns and conditional volatility of 21 frontier markets were affected by fluctuations on the US stock market between December 1st 2005 and January 15th 2010. We find weak, positive return spillovers from the USA to 17 frontier markets. For four countries, Jordan, Lebanon, Nigeria, and Kenya, we find weak negative return spillovers from the USA, implying possible diversification opportunities. For 13 markets, the influence of past local shocks is greater than the influence of current shocks from the USA, and for 16 markets, local past volatility has stronger impact than volatility from the USA.
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.
Volume (Year): 5 (2013)
Issue (Month): 4 ()
|Contact details of provider:|| Web page: http://www.inderscience.com/browse/index.php?journalID==310|
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.:
- Egert, Balazs & Kocenda, Evzen, 2007.
"Interdependence between Eastern and Western European stock markets: Evidence from intraday data,"
Elsevier, vol. 31(2), pages 184-203, June.
- Balazs Egert & Evzen Kocenda, 2005. "Contagion Across and Integration of Central and Eastern European Stock Markets: Evidence from Intraday Data," William Davidson Institute Working Papers Series wp798, William Davidson Institute at the University of Michigan.
- Gebka, Bartosz & Serwa, Dobromil, 2006. "Are financial spillovers stable across regimes?: Evidence from the 1997 Asian crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(4), pages 301-317, October.
- Pollard, Stephen K. & Sapra, Sunil K. & Canarella, Giorgio, 2007.
"Asymmetry and Spillover Effects in the North American Equity Markets,"
Economics - The Open-Access, Open-Assessment E-Journal,
Kiel Institute for the World Economy (IfW), vol. 1, pages 1-52.
- Canarella, Giorgio & Sapra, Sunil K. & Pollard, Stephen K., 2007. "Asymmetry and Spillover Effects in the North American Equity Markets," Economics Discussion Papers 2007-35, Kiel Institute for the World Economy (IfW).
- Reinhart, Carmen & Kaminsky, Graciela, 2002.
"Financial markets in time of stress,"
13869, University Library of Munich, Germany.
- Graciela L. Kaminsky & Carmen M. Reinhart, 2001. "Financial Markets in Times of Stress," NBER Working Papers 8569, National Bureau of Economic Research, Inc.
- Reinhart, Carmen & Kaminsky, Graciela, 2002. "Financial turmoil: Systemic or regional?," MPRA Paper 13195, University Library of Munich, Germany.
- Hisashi Tanizaki & Shigeyuki Hamori, 2009. "Volatility transmission between Japan, UK and USA in daily stock returns," Empirical Economics, Springer, vol. 36(1), pages 27-54, February.
- 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.
- 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.
- 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.
- 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," CESifo Working Paper Series 2545, CESifo Group Munich.
- Gebka, Bartosz & Serwa, Dobromil, 2007. "Intra- and inter-regional spillovers between emerging capital markets around the world," Research in International Business and Finance, Elsevier, vol. 21(2), pages 203-221, June.
- Reinhart, Carmen, 2009. "The economic and fiscal consequences of financial crises," MPRA Paper 13025, University Library of Munich, Germany.
- Martin Sola & Fabio Spagnolo & Nicola Spagnolo, 2002.
"A Test for Volatility Spillovers,"
Economics and Finance Discussion Papers
02-04, Economics and Finance Section, School of Social Sciences, Brunel University.
- Silvia Sgherri & Alessandro Galesi, 2009. "Regional Financial Spillovers Across Europe; A Global VAR Analysis," IMF Working Papers 09/23, International Monetary Fund.
- Baur, Dirk & Jung, Robert C., 2006. "Return and volatility linkages between the US and the German stock market," Journal of International Money and Finance, Elsevier, vol. 25(4), pages 598-613, June.
- Yu, Jung-Suk & Hassan, M. Kabir, 2008. "Global and regional integration of the Middle East and North African (MENA) stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(3), pages 482-504, August.
When requesting a correction, please mention this item's handle: RePEc:ids:ijecbr:v:5:y:2013:i:4:p:433-452. 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: (Darren Simpson)
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.