期刊名称：DIW Diskussionspapiere / Deutsches Institut für Wirtschaftsforschung, Berlin
出版年度：2009
卷号：2009
出版社：Deutsches Institut für Wirtschaftsforschung, Berlin
摘要：This paper examines volatility spillovers from mature to emerging stock markets
and tests for changes in the transmission mechanism-contagion-during turbulences
in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature),
regional, and local markets are estimated for 41 emerging market economies
(EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR
tests suggest that mature markets influence conditional variances in many
emerging markets. Moreover, spillover parameters change during turbulent
episodes. Conditional variances in most EMEs rise during these episodes, but
there is only limited evidence of shifts in conditional correlations between
mature and emerging markets.
