IDEAS home Printed from
MyIDEAS: Login to save this article or follow this journal

On international financial spillovers to frontier markets

  • Galin Todorov
  • Prasad Bidarkota
Registered author(s):

    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.

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    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.

    Article provided by Inderscience Enterprises Ltd in its journal Int. J. of Economics and Business Research.

    Volume (Year): 5 (2013)
    Issue (Month): 4 ()
    Pages: 433-452

    in new window

    Handle: RePEc:ids:ijecbr:v:5:y:2013:i:4:p:433-452
    Contact details of provider: Web page:

    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.:

    as in new window
    1. Reinhart, Carmen & Kaminsky, Graciela, 2002. "Financial markets in time of stress," MPRA Paper 13869, University Library of Munich, Germany.
    2. 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.
    3. Egert, Balazs & Kocenda, Evzen, 2007. "Interdependence between Eastern and Western European stock markets: Evidence from intraday data," Economic Systems, Elsevier, vol. 31(2), pages 184-203, June.
    4. 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.
    5. 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.
    6. Silvia Sgherri & Alessandro Galesi, 2009. "Regional Financial Spillovers Across Europe: A Global VAR Analysis," IMF Working Papers 09/23, International Monetary Fund.
    7. Reinhart, Carmen, 2009. "The economic and fiscal consequences of financial crises," MPRA Paper 13025, University Library of Munich, Germany.
    8. 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.
    9. 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.
    10. 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.
    11. 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.
    12. 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.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    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: (Graham Langley)

    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.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.