extent do these cross-border flows and global risk aversion drive asset volatility in emerging markets? We use a Dynamic … global risk aversion has a significant impact on the volatility of asset prices, while the magnitude of that impact …

meaningful macro-financial linkages, i.e., taking into account spillover effects and other forms of contagion. We come up with an …

This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility … spillovers to stock markets in the Asian region during three different periods in the last decade: the pre-Long Term Capital … ""stock market correction"" period. There is also evidence of structural breaks in the stock price and volatility dynamics …

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 …

testing of two Granger-causal linkages: the impact of return volatility in a market on intermarket correlation and the impact … of return volatility in one market on the volatility of another. Using daily data from stock, bond, currency, and …

The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of … analysis of interconnectedness and contagion for a country's financial system under various circumstances. We survey current …

There have been several episodes of financial market ""contagion"" in the 1990s. Is contagion driven by herd behavior …? Does it reflect fundamental economic linkages between countries? Or are episodes of contagion driven by investor learning … spillover of shocks following the bond market developments in Hong Kong SAR in 1997. Our results suggest that this contagion, at …