Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
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DOI：
10.1111/roie.12091
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发表时间：
2013-11-01
影响因子：
1
通讯作者：
Spagnolo, Nicola
中科院分区：
文献类型：
--
作者：
Beirne, John;Caporale, Guglielmo Maria;Spagnolo, Nicola
本文模拟了从成熟市场到新兴市场的波动溢出，检验了成熟市场动荡期间传导机制的变化，并检验了成熟市场和新兴市场收益之间的条件相关性。对41个新兴市场经济体(EME)的成熟新兴市场、地区性新兴市场和本地新兴市场的收益进行了三变量GARCH-BEKK模型估计。沃尔德检验表明，成熟市场的波动会影响许多新兴市场的条件方差。此外，溢流参数在湍流过程中也会发生变化。在大多数样本的新兴市场市场中，当地市场和成熟市场之间的条件相关性在这些事件期间增加。虽然当地市场的条件方差也会上升，但成熟市场的波动性上升得更多，这种转变是条件相关性增加背后的主要因素。除了极少数例外，成熟市场和新兴市场之间的条件贝塔系数在动荡期间往往保持不变或更低。
This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission mechanism during turbulences in mature markets, and examines the implications for conditional correlations between mature and emerging market returns. Tri-variate GARCH-BEKK models of returns in mature, regional emerging, and local emerging markets are estimated for 41 emerging market economies (EMEs). Wald tests suggest that mature market volatility affects conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. In the majority of the sample EMEs, conditional correlations between local and mature markets increase during these episodes. While conditional variances in local markets rise as well, volatility in mature markets rises more, and this shift is the main factor behind the increase in conditional correlations. With few exceptions, conditional beta coefficients between mature and emerging markets tend to be unchanged or lower during turbulences.