The University of Southampton
University of Southampton Institutional Repository

International transmission of stock returns and volatility: an empirical comparison between friends and foes

Record type: Article

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.

Full text not available from this repository.

Citation

Choudhry, Taufiq (2008) International transmission of stock returns and volatility: an empirical comparison between friends and foes Emerging Markets Finance and Trade, 40, (4), pp. 33-52.

More information

Published date: July 2008
Keywords: GARCH-t, meteor shower, spillover, volatility

Identifiers

Local EPrints ID: 62993
URI: http://eprints.soton.ac.uk/id/eprint/62993
ISSN: 1540-496X
PURE UUID: 167d2d30-7827-4aa7-9a50-a6f2a4ebabff

Catalogue record

Date deposited: 19 Sep 2008
Last modified: 17 Jul 2017 14:19

Export record


Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×