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Financial integration in emerging market economies: effects on volatility transmission and contagion

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  • Ben Rejeb, Aymen
  • Boughrara, Adel

Abstract

The purpose of this paper is to examine the volatility relationship that exists between emerging and developed markets in normal times and in times of financial crises. The Vector Autoregressive methodology and the Bai and Perron (2003a,b)’s technique are used. The paper results lead to very interesting conclusions. First, it has been found that volatility spillovers are effective across financial markets. Second, it has been proven that geographical proximity is of great importance in amplifying the volatility transmission. Finally, it has been shown that financial liberalization contributes significantly in amplifying the international transmission of volatility and the risk of contagion.

Suggested Citation

  • Ben Rejeb, Aymen & Boughrara, Adel, 2014. "Financial integration in emerging market economies: effects on volatility transmission and contagion," MPRA Paper 61519, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:61519
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    1. repec:eco:journ1:2017-03-82 is not listed on IDEAS
    2. Abdullahi, Shafiu Ibrahim, 2017. "Stock Market Linkage, Financial Contagion and Assets Price Movements: Evidence from Nigerian Stock Exchange," MPRA Paper 83455, University Library of Munich, Germany, revised Nov 2017.

    More about this item

    Keywords

    stock market volatility; volatility spillover; financial liberalization; financial crises; emerging stock markets;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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