This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results …

The link between capital controls and stock market volatility is examined using frequency domain techniques …. Conventional analyses of the second moments can produce spurious results if the high-frequency volatility is reduced (increased …) while the overall volatility is increased (reduced) …

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …

has on the next day returns in other markets. We quantify the sources of volatility transmission as price changes and … are tend to be transmitted more through noise than price changes though volatility transmission between Germany, Europe …

Though the issues of co-movement and volatility transmission between Islamic and conventional stock indices have been … conventional index from the perspective of cointegration and volatility spillover employing ARDL bounds testing cointegration … can predict its future price using any of the index prices. Univariate GARCH(1,1) model finds evidence of volatility …

affect local market volatility and, in rare instances, stock returns themselves. Negative news has a leverage effect for … emerging Eastern European stock markets, as greater volatility in the stock market is generated by negative news than by …

in the volatility, from the largest market of Saudi Arabia to Qatar and the two markets in the UAE, which confirms that …

further developed by Engle and Kroner (1995)) to examine the return and volatility spillover between India and four leading … correlation and volatility transmission across the pre- and post-2008 global financial crisis periods (apart from other … developing countries. The result further shows a clear distinction in terms of volatility spillover between the Asian market vis …

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …