Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Guglielmo Maria Caporale, Marianne Schulze-Gattas, John Beirne and Nicola Spagnolo

No 2008/286, IMF Working Papers from International Monetary Fund

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.

Keywords: WP (search for similar items in EconPapers)
Pages: 40
Date: 2008-12-01
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Related works:
Journal Article: Volatility Spillovers and Contagion from Mature to Emerging Stock Markets (2013)
Working Paper: Volatility Spillovers and Contagion from Mature to Emerging Stock Markets (2009)
Working Paper: Volatility Spillovers and Contagion from Mature to Emerging Stock Markets (2009)
Working Paper: Volatility spillovers and contagion from mature to emerging stock markets (2009)
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