Volatility Spillovers And Contagion From Mature To Emerging Stock Markets PDF Download
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| Author | : John Beirne |
| Publisher | : |
| Total Pages | : 42 |
| Release | : 2009 |
| Genre | : Stock exchanges |
| ISBN | : |
Download Volatility Spillovers and Contagion from Mature to Emerging Stock Markets Book in PDF, ePub and Kindle
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.
| Author | : John Beirne |
| Publisher | : INTERNATIONAL MONETARY FUND |
| Total Pages | : 40 |
| Release | : 2008-12-01 |
| Genre | : |
| ISBN | : 9781451871449 |
Download Volatility Spillovers and Contagion from Mature to Emerging Stock Markets Book in PDF, ePub and Kindle
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.
| Author | : Rakesh Shahani |
| Publisher | : |
| Total Pages | : 18 |
| Release | : 2020 |
| Genre | : |
| ISBN | : |
Download Dynamics of Contagion and Spillover Effects Book in PDF, ePub and Kindle
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.
| Author | : Duc Khuong Nguyen |
| Publisher | : |
| Total Pages | : |
| Release | : 2007 |
| Genre | : |
| ISBN | : |
Download Market Deregulations, Volatility and Spillover Effects Book in PDF, ePub and Kindle
This paper investigates the impact of stock market liberalizations on the volatility of emerging markets and volatility spillover effects between these markets and stock markets of the United Stated and Japan. First, our results reinforce previous findings in that emerging markets tend to generate higher volatility than developed markets. Moreover, some of the sudden changes in emerging market volatility appeared to be often associated with financial liberalizations. However, when we explicitly test the relationships between financial liberalization and volatility using regression analysis, we found conflicting results about the sign of financial liberalization effects. Second, we found that stock volatility is substantially transmitted among sample markets, especially between emerging markets of the same geographical location. It is also demonstrated that the multilateral transmission of volatility only increases slightly after liberalization programs. Finally, it is worth notifying that shocks to volatility in emerging markets, rather than those to volatility in the US and Japanese markets constitute a dominant source of return variability in foreign stock markets.
| Author | : Yanan Li |
| Publisher | : |
| Total Pages | : |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download Modeling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets Book in PDF, ePub and Kindle
| Author | : Anthony J. Richards |
| Publisher | : International Monetary Fund |
| Total Pages | : 52 |
| Release | : 1996-04 |
| Genre | : Business & Economics |
| ISBN | : |
Download Volatility and Predictability in National Stock Markets Book in PDF, ePub and Kindle
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.
| Author | : Robert Maderitsch |
| Publisher | : |
| Total Pages | : |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download Structural Breaks in Volatility Spillovers Between International Financial Markets Book in PDF, ePub and Kindle
This paper conducts an investigation of volatility transmission between stock markets in Hong Kong, Europe and the United States covering the time period from 2000 up to 2011. Using intradaily data we compute realized volatility time series for the three markets and employ a Heterogeneous Autoregressive Distributed Lag Model as our baseline econometric specification. Motivated by the presence of various crisis events contained in our sample, we detect time-variation and structural breaks in volatility spillovers. Particularly during the financial crisis of 2007, we find effects consistent with the notion of contagion, suggesting strong and sudden increases in the cross-market synchronization of chronologically succeeding volatilities. Investigating the role of mean breaks and conditional heteroskedasticity in the realized volatilities, however, we find the latter to be the main driver of breaks in volatility spillovers. Taking the volatility of realized volatilities into account, we find no evidence of contagion anymore.
| Author | : Allan William Kleidon |
| Publisher | : |
| Total Pages | : 18 |
| Release | : 1994 |
| Genre | : Rate of return |
| ISBN | : |
Download Comment on 'price Volatility and Volume Spillovers Between the Tokyo and New York Stock Markets' Book in PDF, ePub and Kindle
| Author | : Shah Arjun |
| Publisher | : Arjun Shah |
| Total Pages | : 0 |
| Release | : 2023-02-28 |
| Genre | : Business & Economics |
| ISBN | : 9784939733451 |
Download The Dynamics of Stock Market Volatility An Analysis of Spillover Effect in Asian Market Book in PDF, ePub and Kindle
Stock markets serve as the economic barometers. The relationship between the two capital markets can be studied as a proxy to understand the relation between the two economies. The movement of stock market not only reflects the nation's economic condition but also the confidence level the domestic and foreign investors have in an economy. The increase in integration between the global economies has resulted in convergence and co movement. The purpose of this study is to examine the presence of volatility and test the uniformity in the extent of volatility, to investigate the possible contagion effect between the selected developed and emerging market, to check for the spillover effect between the Indian stock market and the other five sampled markets and finally inspect the relationship between the volume and volatility in the capital markets of Hong Kong, Japan, Singapore, India, China and Philippines. Stratified- convenience sampling technique is used to pick the samples and daily index values are taken from the major index of these countries for a period of seven years. The time series data were tested for stationarity and normality using ADF, PP tests and Jarque-Bera test. Returns, SD, ARIMA, ARCH, GARCH, BEKK-GARCH, Granger causality test, VAR model and Variance decomposition techniques are used for the analysis.
| Author | : Nalin Prasad |
| Publisher | : |
| Total Pages | : 43 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Download Time Varying Volatility Indexes and Their Determinants Book in PDF, ePub and Kindle
This paper investigates volatility spillovers across 16 stock markets of both advanced and emerging economies using the spillover index methodology put forward by Diebold and Yilmaz (2012). Realised volatility as defined by Andersen et al (2003) calculated from high frequency data form the basis on which these spillovers are calculated. They are compared with spillovers based on the volatility estimators put forward by Garman and Klass (1980), Parkinson (1980) and the univariate GARCH methodology (Bollerslev, 1986) used in many previous studies. We find that the time series of total spillovers is similar regardless of the volatility proxy used and spillovers increased dramatically during the global financial crisis of 2008 and the European sovereign debt crisis that followed. More differences arise when comparing directional spillovers to and from individual stock markets, particularly when using GARCH based estimations. We find that the larger stock markets from the advanced western economies, particularly the US, dominate volatility transmission to other markets. Emerging markets such as China, India and Brazil are still relatively isolated and contribute less to global volatility spillovers, though their contribution has increased considerably after 2006. We investigate potential determinants of net spillovers between markets and find that the level of volatility in one market relative to that in other markets is the most important factor in increasing spillovers transmitted.
