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Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis

Beirne, John; Caporale, Guglielmo Maria; … - 2009

This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...

Persistent link: https://www.econbiz.de/10010265964

Global and regional spillovers in emerging stock markets: a multivariate GARCH-in-mean analysis

Beirne, John; Caporale, Guglielmo Maria; … - 2009

Persistent link: https://www.econbiz.de/10010271150

Global and regional spillovers in emerging stock markets: a multivariate GARCH-in-mean analysis

Beirne, J; Caporale, GM; Schulze-Ghattas, M; Spagnolo, N - 2009

This paper examines global (mature market) and regional (emerging market) spillovers inlocal emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimatedfor 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the MiddleEast. The models capture a range of...

Persistent link: https://www.econbiz.de/10009481448

Privatization, political risk and stock market development in emerging economies

Perotti, Enrico C.; Oijen, Pieter van - 1999

This paper investigates whether privatization in emerging economies has a significant indirect effect on local stock market development through the resolution of political risk. We argue that a sustained privatization program represents a major political test that gradually resolves uncertainty...

Persistent link: https://www.econbiz.de/10011301160

Modeling volatility spillover effects between developed stock markets and Asian emerging stock markets

Li, Yanan; Giles, David E. A. - In: International journal of finance & economics : IJFE 20 (2015) 2, pp. 155-177

Persistent link: https://www.econbiz.de/10011348426

Dynamic interdependence between US and Asian markets : an empirical study

Dhanaraj, Sowmya; Gopalaswamy, Arun Kumar - In: Journal of financial economic policy 5 (2013) 2, pp. 220-237

Persistent link: https://www.econbiz.de/10009759316

Co-movements of GCC emerging stock markets : new evidence from wavelet coherence analysis

Aloui, Chaker; Hkiri, Besma - In: Economic modelling 36 (2014), pp. 421-431

Persistent link: https://www.econbiz.de/10010415824

Causality-in-quantiles between crude oil and stock markets : evidence from emerging economies

Bhatia, Vaneet; Basu, Sankarshan - In: Finance research letters 40 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10012819833

Financial integration in emerging economies : an application of threshold cointegration

Sajid Ali; Ur Rehman, Mobeen; Shahzad, Syed Jawad Hussain; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 4, pp. 213-228

Persistent link: https://www.econbiz.de/10012657687

Interaction among crude oil price and Indian stock market indices

Yelamanchili, Rama Krishna - In: The empirical economics letters : a monthly … 19 (2020) 1, pp. 65-74

Persistent link: https://www.econbiz.de/10012589118