Global output growth and volatility spillovers

Valadkhani, Abbas; Harvie, Charles; Karunanayake, Indika

doi:10.1080/00036846.2011.608648

Cited by 3 publications

(3 citation statements)

References 39 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The BEKK model can capture the response of one country's volatility to other countries and is often used to analyze the spillover effect of volatility. To reduce the number of parameters in the estimation process, a more restricted version of BEKK model called Diagonal-BEKK model is often used, as reviewed by Harvie et al (2013).…”

Section: B Multivariate Bekk-garch Modelmentioning

confidence: 99%

See 1 more Smart Citation

A Comparison of the Economic Volatility Spillover Effect of Hong Kong with China and USA

Wong

2019

Asian Economic and Financial Review

View full text Add to dashboard Cite

Hong Kong has been part of China now for over twenty years. The economic activities between the two regions are more integrated due to policies for enhancing trade and finance, location convenience and fast economic growth in China. This article examined the economic integration between Hong Kong and China in terms of the volatility spillover effect of four economic indicators, namely real GDP growth rate, inflation rate, M2 supply and the three-month interbank offer rate. We used the Bivariate Multivariate GARCH model. As the USA has been the biggest trade partner of Hong Kong, the economic effect of the USA on Hong Kong was also analyzed. We found that the economic volatility of China significantly spills over to Hong Kong while there is less evidence found for a spillover effect from the USA. As the Hong Kong Dollar is still strictly pegged with the US Dollar, this paper provides evidence for the evaluation of Hong Kong's monetary policy on the exchange rate system.Contribution/ Originality: This study contributes to the literature by examining the economic integration between Hong Kong and China in terms of the volatility spillover effect of four economic indicators, namely real GDP growth rate, inflation rate, M2 supply and the three-month interbank offer rate.

show abstract

Section: B Multivariate Bekk-garch Modelmentioning

confidence: 99%

“…Results were more significant with structural break points in volatility included. Harvie et al (2013) used data for the period of 1912-2008. They identified three groups from twelve countries with real GDP co-movements.…”

Section: Introductionmentioning

confidence: 99%

A Comparison of the Economic Volatility Spillover Effect of Hong Kong with China and USA

Wong

2019

Asian Economic and Financial Review

View full text Add to dashboard Cite

show abstract

“…There is also overwhelming evidence corroborating the significance of volatility spillovers of European stock markets in the light of oil prices (Giannellis, Kanas, & Papadopoulos, 2010;Arouri, Jouini, & Nguyen, 2011Antonakakis, 2012;Tamakoshi & Hamori, 2013;Reboredo, 2014). More comprehensive studies carried out extensive volatility spillover comparisons among different countries (Serra, 2011;Korkmaz, Çevik, & Atukuren, 2012;Krause & Tse, 2013;Nazlioglu, Erdem, & Soytas, 2013;Salisu & Mobolaji, 2013;Valadkhani, Harvie, & Karunanayake, 2013). Some recent studies examined the behavior of the U.S. stock markets and sector indices depending on oil prices and found evidence of significant transmission of volatility and shocks between oil prices and relevant sectors (Hammoudeh, Li, & Jeon, 2003;Malik & Ewing, 2009;Du, Yu, & Hayes, 2011;Diebold & Yilmaz, 2012;Ji & Fan, 2012;Trujillo-Barrera, Mallory, & Garcia, 2012;Liu, Ji, & Fan, 2013).…”

Section: Introductionmentioning

confidence: 99%

Volatility Spillovers between World Oil Market and Sectors of BIST

Sattary¹,

Temurlenk²,

Bilgiç³

et al. 2014

ASS

View full text Add to dashboard Cite

Nowadays, enormous increase of production and service sectors leads to increase in demand for energy consumption. Therefore, energy and oil consumption in a variety of countries are considerably effected by energy and oil prices. International oil prices are crucial for both oil exporting countries and capital market investors as a means of volatility spillovers. This paper aims to analyze whether volatility spillovers exist between world oil market and several sector indices operating in Borsa Istanbul (BIST) 100 including energy, non-metal mineral products, and transportation using bivariate GARCH (1, 1) model. Estimation results suggest that except for non-metal mineral products sector, there are interactions between oil returns and the underlying sectors in terms of both shocks and conditional variance.

show abstract

An empirical analysis of the US stock market and output growth volatility spillover effects on three Anglo-Saxon countries

Valadkhani

Chen

2014

International Review of Applied Economics

View full text Add to dashboard Cite

Global output growth and volatility spillovers

Cited by 3 publications

References 39 publications

A Comparison of the Economic Volatility Spillover Effect of Hong Kong with China and USA

A Comparison of the Economic Volatility Spillover Effect of Hong Kong with China and USA

Volatility Spillovers between World Oil Market and Sectors of BIST

An empirical analysis of the US stock market and output growth volatility spillover effects on three Anglo-Saxon countries

Contact Info

Product

Resources

About