Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
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... READ MORE...

Publication date: December 2008
ISBN 9781451871449
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