We use weekly data on returns and range-based volatility over 2005-2017 to examine the degree of interconnectedness in financial markets of eleven MENA and four Western economies using the methodology proposed by Diebold and Yilmaz (2009, 2012, 2014). Our findings suggest (a) similar patterns of...

Purpose - The study uses the multivariate GARCH-BEKK model (which was first proposed by Baba et al. (1990) and then further developed by Engle and Kroner (1995)) to examine the return and volatility spillover between India and four leading Asian (namely, China, Japan, Singapore and Hong Kong)...

This paper examines the mean return and volatility spillover effects from the three influential stock markets of the US, Japan, and China to the two emerging stock markets of Indonesia and Malaysia over the sample period from 2005 to 2007. By analyzing GARCH models, we verify that there are...

This paper estimates a tri-variate VAR-GARCH(1,1)-in-mean model to examine linkages between the stock markets of three Central and Eastern European countries (CEECs), specifically the Czech Republic, Hungary, and Poland, and both the UK and Russia. The adopted framework allows to analyse...

We propose measures of the total volatility spillover, the regional volatility spillovers of 11 countries, and the directional volatility spillovers between Chinese and world equity markets from February 1996 to December 2009, based on forecast-error variance decompositions in a generalized...

We analyze foreign news and spillovers in the emerging EU stock markets (the Czech Republic, Hungary, and Poland). We employ high-frequency five-minute intraday data on stock market index returns and four classes of EU and U.S. macroeconomic announcements during 2004–2007. We account for the...

Although real integration conceptually plays an important role for the comovement of international equity markets, documenting this link empirically has proven challenging. We construct a new dataset of theory-guided, relevant measures of bilateral trade in final and intermediate goods and...

Volatility spillover among major equity markets has long fascinated academicians and researchers alike. This paper presents an elaborate survey and analysis of the literature on the subject. Review of extant studies on various basis such as markets studied, methodology employed, among others has...

Although real integration conceptually plays an important role for the comovement of international equity markets, documenting this link empirically has proven challenging. We construct a new dataset of theory-guided, relevant measures of bilateral trade in final and intermediate goods and...

During the past decade, Baltic and Nordic stock exchanges have moved towards a harmonization of procedures and common ownership. In this paper we apply a multivariate EGARCH model to daily stock return data to test for first moment and second moment interdependencies among the Baltic and Nordic...