“…During the last decades, several studies in empirical finance and financial economics have focused on the analysis of volatility transmission between emerging markets with regard to the increase in their degree of financial integration after their liberalization process (Gilenko and Fedorova, 2014;Bekiros, 2013;Bensafta and Samedo, 2011;Kearney, 2000;Leachman and Francis, 1996;Karolyi, 1995;Hamao et al, 1990). By reviewing the financial literature, we can remark that several methods were applied to investigate the interdependencies between financial markets in terms of volatility.…”