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An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries

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  • Faruk, Balli
  • Syed Abul, Basher
  • Hassan, Ghassan
  • Hassan, Hajhoj

Abstract

This study investigates the return spillovers and volatility spillovers from developed markets (e.g., Europe, Japan and the US) into the financial markets of selected emerging countries in Asia and the Middle East and North Africa (MENA) region. Based on constant and trend spillover models, we find evidence of significant spillover effects from developed markets to emerging markets. The results from variance ratios indicate the dominance of US shocks across all emerging markets, though the effect varies widely among countries. New to these literature, we conduct an empirical analysis quantifying the underlying determinants affecting the extent of shock spillovers. The results show that bilateral factors such as trade volume, portfolio investment and distance are significant in explaining the spillover effects.

Suggested Citation

  • Faruk, Balli & Syed Abul, Basher & Hassan, Ghassan & Hassan, Hajhoj, 2015. "An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries," MPRA Paper 63847, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:63847
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    1. repec:eee:phsmap:v:509:y:2018:i:c:p:405-421 is not listed on IDEAS
    2. repec:eee:reveco:v:49:y:2017:i:c:p:548-567 is not listed on IDEAS
    3. Harald Schmidbauer & Angi Rösch & Erhan Uluceviz & Narod Erkol, 2016. "The Russian Stock Market during the Ukrainian Crisis: A Network Perspective," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(6), pages 478-509, December.

    More about this item

    Keywords

    Return spillovers; Volatility spillovers; Market integration;

    JEL classification:

    • F15 - International Economics - - Trade - - - Economic Integration
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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