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Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets by Guglielmo Maria Caporale
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This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets.
International Monetary Fund; December 2008
40 pages; ISBN 9781451983241
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Title: Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
Author: Guglielmo Maria Caporale; Marianne Schulze-Ghattas; John Beirne; Nicola Spagnolo
 
ISBNs
1451983247
9781451871449
9781451983241
9781451998351