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Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

机译：从成熟到新兴市场的波动性溢出和蔓延

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摘要

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.
机译：本文对从成熟市场到新兴市场的波动溢出进行建模，测试在成熟市场动荡期间的传导机制变化，并研究了成熟市场和新兴市场收益之间的条件相关性含义。估计有41个新兴市场经济体（EME）的成熟，区域新兴市场和本地新兴市场回报的三变量GARCH-BEKK模型。 Wald检验表明，成熟的市场波动会影响许多新兴市场的条件方差。而且，溢出参数在湍流发作期间改变。在大多数样本EME中，这些事件期间本地市场和成熟市场之间的条件相关性增加。尽管本地市场的条件方差也增加了，但成熟市场的波动性却增加了更多，而这种转变是条件相关性增加的主要因素。除少数例外，在动荡期间，成熟市场与新兴市场之间的条件β系数趋于不变或更低。

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  • 来源
    《Review of international economics》 |2013年第5期|1060-1075|共16页
  • 作者

    John Beirne; Guglielmo Maria Caporale; Marianne Schulze-Ghattas; Nicola Spagnolo;

  • 作者单位

    European Central Bank, Kaiserstrasse 29, Frankfurt am Main, 60311, Germany;

    Centre for Empirical Finance, Brunei University, London, UB8 3PH, UK;

    Financial Markets Group, London School of Economics, London, UK;

    Centre for Empirical Finance,Brunei University, London, UB8 3PH, United Kingdom Centre for Applied Macroeconomic Analysis, Canberra, Australia;

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