International transmission of stock returns and volatility: an empirical comparison between friends and foes
International transmission of stock returns and volatility: an empirical comparison between friends and foes
This paper investigates stock market mean returns and volatility spillover between stock markets of political and friendly countries. The potential foes and friends are selected according to the political situations in the past ten years. The three pairs of foes tested are Israel-Jordan, India-Pakistan, and Greece-Turkey. The United States has been historically and traditionally friendly toward these six countries. Spillover between the United States and these countries is also investigated. The empirical tests are conducted by means of a nonlinear GARCH-t model. Results indicate bidirectional mean and volatility spillover between two countries not on friendly terms. Results also provide ample evidence that mean and volatility spillover takes place from a larger distant friendly country (the United States) to these smaller emerging markets, but not much the other way around.
GARCH-t, meteor shower, spillover, volatility
33-52
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
July 2008
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Choudhry, Taufiq
(2008)
International transmission of stock returns and volatility: an empirical comparison between friends and foes.
Emerging Markets Finance and Trade, 40 (4), .
Abstract
This paper investigates stock market mean returns and volatility spillover between stock markets of political and friendly countries. The potential foes and friends are selected according to the political situations in the past ten years. The three pairs of foes tested are Israel-Jordan, India-Pakistan, and Greece-Turkey. The United States has been historically and traditionally friendly toward these six countries. Spillover between the United States and these countries is also investigated. The empirical tests are conducted by means of a nonlinear GARCH-t model. Results indicate bidirectional mean and volatility spillover between two countries not on friendly terms. Results also provide ample evidence that mean and volatility spillover takes place from a larger distant friendly country (the United States) to these smaller emerging markets, but not much the other way around.
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Published date: July 2008
Keywords:
GARCH-t, meteor shower, spillover, volatility
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Local EPrints ID: 62993
URI: http://eprints.soton.ac.uk/id/eprint/62993
ISSN: 1540-496X
PURE UUID: 167d2d30-7827-4aa7-9a50-a6f2a4ebabff
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Date deposited: 19 Sep 2008
Last modified: 12 Dec 2021 03:12
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