Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

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

December 1, 2008

Preview Citation

Format: Chicago

Guglielmo Maria Caporale, Marianne Schulze-Gattas, John Beirne, and Nicola Spagnolo. Volatility Spillovers and Contagion from Mature to Emerging Stock Markets, (USA: International Monetary Fund, 2008) accessed September 19, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Emerging and frontier financial markets, Financial crises, Securities markets, Spillovers, Stock markets

Keywords: WP

Publication Details

Pages:

40
Volume:

---
DOI:

---
Issue:

---
Series:

Working Paper No. 2008/286
Stock No:

WPIEA2008286
ISBN:

9781451871449
ISSN:

1018-5941

FACTSHEETS

RESOURCES

TOPICS

Flagship Publications

Other Publications

IMF reports and publications by country

Regional Offices

All News

See Also

For Journalists

Press Center

RESOURCES

FLAGSHIPS

KEY SERIES

IMF NOTES

IMF Working Papers