Cover IMF Working Papers
Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
Author: Guglielmo Maria Caporale, Mrs. Marianne Schulze-Gattas, John Beirne, and Nicola Spagnolo
Series:
IMF Working Papers
Volume/Issue:
Volume 2008: Issue 286
Language:
English
Publication Date:
01 Dec 2008
DOI:
https://doi.org/10.5089/9781451871449.001
ISBN:
9781451871449
ISSN:
1018-5941
Pages:
40
Keywords:
WP
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IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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.
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund