Volatility spillovers and contagion from mature to emerging stock markets
John Beirne,Guglielmo Maria Caporale,Guglielmo Maria Caporale,Marianne Schulze-Ghattas,Marianne Schulze-Ghattas,Nicola Spagnolo +5 more
TLDR
This article examined volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism - contagion - during turbulences in mature markets and found that mature markets influence conditional variances in many emerging markets.Abstract:
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.read more
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No Contagion, Only Interdependence: Measuring Stock Market Comovements
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Measuring and Testing the Impact of News on Volatility
Robert F. Engle,Victor K. Ng +1 more
TL;DR: This paper defined the news impact curve which measures how new information is incorporated into volatility estimates and compared various ARCH models including a partially nonparametric one with daily Japanese stock return data.
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No Contagion, Only Interdependence: Measuring Stock Market Co-Movements
TL;DR: In this article, the authors examined stock market co-movements and applied these concepts to test for stock market contagion during the 1997 East Asian crises, the 1994 Mexican peso collapse, and the 1987 U.S. stock market crash.