Skip to main content
Article thumbnail
Location of Repository

Global and regional spillovers in emerging stock markets: a multivariate GARCH-in-mean analysis

By John Beirne, Guglielmo M. Caporale, Marianne Schulze-Ghattas and Nicola Spagnolo

Abstract

This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR-GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of possible transmission channels: spillovers in mean returns, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results suggest that spillovers from regional and global markets are present in the vast majority of EMEs. However, the nature of cross-market linkages varies across countries and regions. While spillovers in mean returns dominate in emerging Asia and Latin America, spillovers in variance appear to play a key role in emerging Europe. There is also some evidence of cross-market GARCH-in-mean effects. The relative importance of regional and global spillovers varies too, with global spillovers dominating in Asia, and regional spillovers in Latin America and the Middle East

Topics: HG Finance
Publisher: Elsevier
Year: 2010
DOI identifier: 10.1016/j.ememar.2010.05.002
OAI identifier: oai:eprints.lse.ac.uk:33637
Provided by: LSE Research Online
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://www.elsevier.com/wps/fi... (external link)
  • http://eprints.lse.ac.uk/33637... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.