nep-fmk New Economics Papers
on Financial Markets
Issue of 2015‒05‒02
one paper chosen by

  1. An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries By Faruk, Balli; Syed Abul, Basher; Hassan, Ghassan; Hassan, Hajhoj

  1. By: Faruk, Balli; Syed Abul, Basher; Hassan, Ghassan; Hassan, Hajhoj
    Abstract: This study investigates the return spillovers and volatility spillovers from developed markets (e.g., Europe, Japan and the US) into the financial markets of selected emerging countries in Asia and the Middle East and North Africa (MENA) region. Based on constant and trend spillover models, we find evidence of significant spillover effects from developed markets to emerging markets. The results from variance ratios indicate the dominance of US shocks across all emerging markets, though the effect varies widely among countries. New to these literature, we conduct an empirical analysis quantifying the underlying determinants affecting the extent of shock spillovers. The results show that bilateral factors such as trade volume, portfolio investment and distance are significant in explaining the spillover effects.
    Keywords: Return spillovers; Volatility spillovers; Market integration
    JEL: F15 F36 G12
    Date: 2015–04–23

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