2009
DOI: 10.2139/ssrn.1340401
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Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Abstract: 4Non-technical summary 5

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Cited by 83 publications
(57 citation statements)
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References 36 publications
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“…The identification of channels of shock transmission across countries is, for instance, discussed in Dungey, Fry, Gonzalez-Hermosillo and Martin (2005), Dornbusch, Park and Claessens (2000) and Pericoli and Sbracia (2003). Beirne, Caporale, Schulze-Ghattas and Spagnolo (2008) examine volatility spillovers from mature to EM countries and test for their changes during crisis periods. Similarly, some other studies that jointly investigate spillovers of EM and mature countries are Dungey, Fry, Gonzalez-Hermosillo, andMartin (2006, 2007) and Kaminsky and Reinhart (2003).…”
Section: Introductionmentioning
confidence: 99%
“…The identification of channels of shock transmission across countries is, for instance, discussed in Dungey, Fry, Gonzalez-Hermosillo and Martin (2005), Dornbusch, Park and Claessens (2000) and Pericoli and Sbracia (2003). Beirne, Caporale, Schulze-Ghattas and Spagnolo (2008) examine volatility spillovers from mature to EM countries and test for their changes during crisis periods. Similarly, some other studies that jointly investigate spillovers of EM and mature countries are Dungey, Fry, Gonzalez-Hermosillo, andMartin (2006, 2007) and Kaminsky and Reinhart (2003).…”
Section: Introductionmentioning
confidence: 99%
“…The linkage between markets has been addressed categorically in relation to such issues like the contagion phenomenon (King & Wadhwani, 1990;Caporale, Cipollin & Spagnolo, 2005), time-variation in the covariance between stock markets and the extent of market integration (Bae & Karolyi, 1994;King, Sentana & Wadhwani, 1994;Bekaert & Harvey, 1995;Longin & Solnik, 1995), and volatility transmission between markets both within countries (Frank, Gonzales & Hesse, 2008) and across global markets (Ng, 2000;Bartram & Wang, 2005). In particular, some studies focus on markets' response to global economic shocks like the 1997 Asian economic crisis (Forbes & Rigobon, 2002;Bekaert, Harvey & Ng, 2005;Corsetti, Pericoli & Sbracia, 2005;Caporale, Pittid & Spagnolo, 2006) and the 2007 financial crisis (Beirne, Caporale, Schulze & Spagnolo, 2009;Frank & Hesse, 2009). Overall, these studies suggest that during crises cross-market correlations increases, asset prices drop largely, alongside increase in market volatility.…”
Section: Introductionmentioning
confidence: 99%
“…2 V tomto smyslu se Beirne et al (2009) zaměřují na vliv krize na přelévání volatility a ukazují, že jednotlivé kapitálové trhy vykazují rozdíly v intenzitě cenových skoků před a během evropské dluhové krize, zatímco volatilita intenzity cenových skoků je v obou obdobích stejná. Hanousek a Novotný (2014) pak dále diskutují případnou potřebu odrazit tyto efekty do regulačních pravidel.…”
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