Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Beirne, John; Caporale, Guglielmo Maria; Schulze‐Ghattas, Marianne; Spagnolo, Nicola

doi:10.2139/ssrn.1340401

Cited by 83 publications

(57 citation statements)

References 36 publications

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“…The identification of channels of shock transmission across countries is, for instance, discussed in Dungey, Fry, Gonzalez-Hermosillo and Martin (2005), Dornbusch, Park and Claessens (2000) and Pericoli and Sbracia (2003). Beirne, Caporale, Schulze-Ghattas and Spagnolo (2008) examine volatility spillovers from mature to EM countries and test for their changes during crisis periods. Similarly, some other studies that jointly investigate spillovers of EM and mature countries are Dungey, Fry, Gonzalez-Hermosillo, andMartin (2006, 2007) and Kaminsky and Reinhart (2003).…”

Section: Introductionmentioning

confidence: 99%

Financial Spillovers to Emerging Markets During the Global Financial Crisis

Frank

Hesse²

2009

IMF Working Papers

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Section: Introductionmentioning

confidence: 99%

Financial Spillovers to Emerging Markets During the Global Financial Crisis

Frank

Hesse²

2009

IMF Working Papers

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“…The linkage between markets has been addressed categorically in relation to such issues like the contagion phenomenon (King & Wadhwani, 1990;Caporale, Cipollin & Spagnolo, 2005), time-variation in the covariance between stock markets and the extent of market integration (Bae & Karolyi, 1994;King, Sentana & Wadhwani, 1994;Bekaert & Harvey, 1995;Longin & Solnik, 1995), and volatility transmission between markets both within countries (Frank, Gonzales & Hesse, 2008) and across global markets (Ng, 2000;Bartram & Wang, 2005). In particular, some studies focus on markets' response to global economic shocks like the 1997 Asian economic crisis (Forbes & Rigobon, 2002;Bekaert, Harvey & Ng, 2005;Corsetti, Pericoli & Sbracia, 2005;Caporale, Pittid & Spagnolo, 2006) and the 2007 financial crisis (Beirne, Caporale, Schulze & Spagnolo, 2009;Frank & Hesse, 2009). Overall, these studies suggest that during crises cross-market correlations increases, asset prices drop largely, alongside increase in market volatility.…”

Section: Introductionmentioning

confidence: 99%

Economic Cycles and Stock Return Volatility: Evidence from the Past Two Decades

Lukanima¹,

Swaray²

2013

IJEF

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We use EGARCH-M models to examine the co-cyclical nature of stock returns in relation to economic cycles, focusing on three key variables, namely stock return volatility, risk premium and information asymmetry. We incorporate a wider and systematic alley of major global economic events since 1990s to the end of 2011. The main objective is to provide a corroborative evidence of the cyclicality nature of stock return volatility in the global context, and to present a consolidated volatility alley in association with major economic events. The overall conclusion is that increases in stock returns during good economic conditions tend to be associated with increases in risk premium, but decreases in overall risk and the impact of bad news (information asymmetry), and increase or decrease in volatility persistent. It is the vice versa during bad times. This conclusion emphasizes findings from previous studies, while providing new intuitions for stimulating more debate on the nature of contradictions from previous studies. Also, our findings have significant implications for investors and decision-makers at corporate, national, and international levels.

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“…2 V tomto smyslu se Beirne et al (2009) zaměřují na vliv krize na přelévání volatility a ukazují, že jednotlivé kapitálové trhy vykazují rozdíly v intenzitě cenových skoků před a během evropské dluhové krize, zatímco volatilita intenzity cenových skoků je v obou obdobích stejná. Hanousek a Novotný (2014) pak dále diskutují případnou potřebu odrazit tyto efekty do regulačních pravidel.…”

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Cluster Analysis of Jumps on Capital Markets

Hanousek¹,

Kočenda²,

Novotný³

2016

Politicka ekonomie

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Cluster Analysis of Jumps on Capital MarketsWe analyze the behavior and performance of multiple price jump indicators across capital markets and over time. By using high-frequency we perform cluster analysis of price jump indicators that share similar properties in terms of their performance in that they minimize Type I and Type II errors. We show that clusters of price jump indicators do not exhibit equal size. Clusters are stable across stock market indices and time. Detected numbers of price jumps are also stable over time. The recent fi nancial crisis does not seem to aff ect the overall jumpiness of mature or emerging stock markets. Our results support the stress testing approach of the Basel III. Accords in that the jump component of the volatility process does not need to be treated separately for the purpose of stress testing.

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Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Abstract: 4Non-technical summary 5

Cited by 83 publications

References 36 publications

Financial Spillovers to Emerging Markets During the Global Financial Crisis

Financial Spillovers to Emerging Markets During the Global Financial Crisis

Economic Cycles and Stock Return Volatility: Evidence from the Past Two Decades

Cluster Analysis of Jumps on Capital Markets

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