Logo
Munich Personal RePEc Archive

An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries

Faruk, Balli and Syed Abul, Basher and Hassan, Ghassan and Hassan, Hajhoj (2015): An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries.

[thumbnail of MPRA_paper_63847.pdf]
Preview
PDF
MPRA_paper_63847.pdf

Download (1MB) | Preview

Abstract

This study investigates the return spillovers and volatility spillovers from developed markets (e.g., Europe, Japan and the US) into the financial markets of selected emerging countries in Asia and the Middle East and North Africa (MENA) region. Based on constant and trend spillover models, we find evidence of significant spillover effects from developed markets to emerging markets. The results from variance ratios indicate the dominance of US shocks across all emerging markets, though the effect varies widely among countries. New to these literature, we conduct an empirical analysis quantifying the underlying determinants affecting the extent of shock spillovers. The results show that bilateral factors such as trade volume, portfolio investment and distance are significant in explaining the spillover effects.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.