An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries

Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies

“…In general, therefore, the findings do not point to a very close integration among the markets studied in that financial turmoil in some markets does not trigger headwinds for other markets. This is in contrast to findings from studies that include major European markets (Yavas & Dedi, 2016). Therefore, financial contagion is far from reality when it comes to such different markets as the ones included in this study with the exception of the UK and the German markets that appear to be closely integrated.…”

“…These results are corroborated by Beirne et al (2010) and Yavas and Dedi (2016) that find spillovers in variance (volatility) appear to play a role in Europe. Schleicher (2001), on the other hand, found return co-movements significant but not their volatilities in Hungary, Poland, and Czech Republic.…”

“…Other studies similar to the present one include Yavas and Dedi (2016) which studies linkages among several European equity markets and Abbas, Khan, and Shah (2013) which investigates the presence of volatility transmission among regional equity markets of Pakistan, China, India, and Sri Lanka in addition to the developed countries (USA, UK, Singapore, and Japan). Their results show that volatility transmission is present between friendly countries of different regions with economic links.…”

“…The main finding has been that while correlations among equity markets have been increasing, there are still opportunities for investors to benefit from portfolio diversifications by investing in different country equity markets (Grosvenor & Greenidge, 2010;Kiymaz, 2003;Kumar, 2013;Yavas & Dedi, 2016;Yavas & Rezayat, 2016). After the 2007-2008 global financial crisis, capital flows across the world responded to policy actions by the major countries.…”

Dynamic spillovers between Nigerian, South African and international equity markets

“…Interestingly, volatility of inflation was found to be associated with changes of the opposite sign in stock market volatility in all markets where a significant effect is found to exist. Yavas and Dedi (2016) analyse the connection between stock returns as well as transmission of volatilities in German, Austrian, Polish, Russian and Turkish markets using a multivariate moving average and GARCH model. The paper revealed the existence of significant returns co movement and volatility spillover among the countries in the sample, signifying substantial equity market integration.…”