Journal of Finance & Economics Research (JFER)

Time-varying Return and Volatility Spillover among EAGLEs Stock Markets: A Multivariate GARCH Analysis

Research Article 8 61
Journal of Finance & Economics Research - Volume 3, Issue 1 2018
By Usman M. Umer, Metin Coskun, Kasim Kiraci
10.20547/jfer1803102
Keywords: Multivariate GARCH, conditional correlation, spillover effect, EAGLEs, stock markets

This study investigates the presence of return and volatility spillover across EAGLEs stock markets, namely China, India, Indonesia, Russia, Brazil, Turkey and Mexico. A multivariate GARCH DCC and BEKK frameworks are employed by classifying the total sample (i.e. from January 2002 to February 2017) into three sub-periods according to the 2008 Global financial crisis. The result shows a significant and positive spillover effect among stock markets in the pre-crisis and post-crisis periods. The transmission of spillover from external markets intensely influenced by US stock market. Furthermore, strong inter-connection and channel of spread observed among EAGLEs stock market during the post-crisis period.

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