登入選單
返回Google圖書搜尋
Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
John BeirneGuglielmo Maria CaporaleMarianne Schulze-GhattasNicola Spagnolo
出版International Monetary Fund, 2008-12-01
主題Business & Economics / Finance / GeneralBusiness & Economics / Economics / MacroeconomicsBusiness & Economics / Finance / Financial Risk Management
ISBN14518714499781451871449
URLhttp://books.google.com.hk/books?id=kWhXwgEACAAJ&hl=&source=gbs_api
註釋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.