| 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. |