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Volatility Spillovers And Contagion From Mature To Emerging Stock Markets

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Volatility Spillovers And Contagion From Mature To Emerging Stock Markets

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Author : John Beirne
language : en
Publisher:
Release Date : 2009

Volatility Spillovers And Contagion From Mature To Emerging Stock Markets written by John Beirne and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Stock exchanges categories.

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.

Volatility Spillovers And Contagion From Mature To Emerging Stock Markets

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Author : John Beirne
language : en
Publisher: INTERNATIONAL MONETARY FUND
Release Date : 2008-12-01

Volatility Spillovers And Contagion From Mature To Emerging Stock Markets written by John Beirne and has been published by INTERNATIONAL MONETARY FUND this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-12-01 with categories.

Extreme Contagion In Equity Markets

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Author : Jorge A. Chan-Lau
language : en
Publisher: International Monetary Fund
Release Date : 2002-05

Extreme Contagion In Equity Markets written by Jorge A. Chan-Lau and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-05 with Business & Economics categories.

This study uses bivariate extremal dependence measures, based on the number of equity return co-exceedances in two markets, to quantify both negative and positive equity returns contagion in mature and emerging equity markets during the past decade. The results indicate (a) higher contagion for negative returns than for positive returns; (b) a secular increase in contagion in Latin America not matched in other regions; (c) global increases in contagion following the 1998 financial crises; and (d) that the use of simple correlations as a proxy for contagion could be misleading, as the former exhibit low correlation with extremal dependence measures of contagion.

Dynamics Of Contagion And Spillover Effects

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Author : Rakesh Shahani
language : en
Publisher:
Release Date : 2020

Dynamics Of Contagion And Spillover Effects written by Rakesh Shahani and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.

The present study makes an attempt to investigate the dynamics of contagion and spillover of volatility amongst stock markets of five economies which include three developed nations; US , UK and Japan and two Asian emerging economies viz. India and China The period of study is eleven years; Jan 1, 2009-Dec 31, 2019 and the data is collected for daily closing prices of the indices. The study makes a distinction between contagion and spillover whereby a shock is considered spillover if its impact is seen with a lag of one period only and no more lags after the shock has occurred, while contagion is a residual transmission after accounting for all other transmissions including spillover(Masson, P. (1998) ; Dungey, M. and Martin, V.L. (2007)) The results of the study revealed that there was substantial contagion and information flows from one market to another , be it developed or emerging . Further although US markets continue to play a major role in deciding the direction of markets, the importance of other markets has increased over the years. Further, US market on its own now appears to look for clues from both developed and emerging markets including India and China. On the other hand , the stock market of UK follows the return movement and volatility mainly from US markets. The two emerging markets of Asia, India and China observe a lot of co-movement in returns with spillovers being linked to the developed markets which includes US as global market and Japan as regional market. The study also tested for pre-conditions of stationarity, autocorrelation and heteroscedasticity and the model was modified wherever necessary in order to make the results of the study robust.

Modeling Volatility Spillover Effects Between Developed Stock Markets And Asian Emerging Stock Markets

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Author : Yanan Li
language : en
Publisher:
Release Date : 2013

Modeling Volatility Spillover Effects Between Developed Stock Markets And Asian Emerging Stock Markets written by Yanan Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.

Volatility And Predictability In National Stock Markets

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Author : Anthony J. Richards
language : en
Publisher: International Monetary Fund
Release Date : 1996-04

Volatility And Predictability In National Stock Markets written by Anthony J. Richards and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996-04 with Business & Economics categories.

This paper examines the evidence for the common assertion that the volatility of emerging stock markets has increased as a result of the liberalization of markets. A range of measures suggests that there has been no generalized increase in volatility in recent years; indeed, it appears that volatility may have tended to fall rather than rise on average. The paper also tests for the predictability of long-horizon returns in emerging markets. While there is evidence for positive autocorrelation in returns at horizons of one or two quarters, the autocorrelations appear to turn negative at horizons of a year or more. However, the magnitude of the apparent return reversals is not that much larger than reversals in some mature markets. One interpretation of the results would be that emerging markets have not consistently been subject to fads or bubbles, or at least no more so than in some industrial countries. In general, the liberalization and broadening of emerging markets should lead to a reduction in return volatility as risk is spread among a larger number of investors.

Comment On Price Volatility And Volume Spillovers Between The Tokyo And New York Stock Markets

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Author : Allan William Kleidon
language : en
Publisher:
Release Date : 1994

Comment On Price Volatility And Volume Spillovers Between The Tokyo And New York Stock Markets written by Allan William Kleidon and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Rate of return categories.

Volatility And Predictability In National Stock Markets

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Author : Anthony Richards
language : en
Publisher:
Release Date : 1996

Volatility And Predictability In National Stock Markets written by Anthony Richards and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.

Empirical Evidence On Financial Spillovers And Contagion To International Stock Markets

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Author : Dobromi·l Serwa
language : en
Publisher:
Release Date : 2005

Empirical Evidence On Financial Spillovers And Contagion To International Stock Markets written by Dobromi·l Serwa and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.

The Impact Of The Global Financial Crisis On Emerging Financial Markets

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Author : Jonathan Batten
language : en
Publisher: Emerald Group Publishing
Release Date : 2011-03-02

The Impact Of The Global Financial Crisis On Emerging Financial Markets written by Jonathan Batten and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-02 with Business & Economics categories.

The Global Financial Crisis of 2007-2009 has highlighted the resilience of the financial markets and economies from the developing world. This title investigates and assesses the impact and response to the crisis from an emerging markets perspective including asset pricing, contagion, financial intermediation, market structure and regulation.

Volatility Spillovers And Contagion From Mature To Emerging Stock Markets

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