127
Views
12
CrossRef citations to date
0
Altmetric
Original Article

Returns, Volatilities, and Correlations Across Mature, Regional, and Frontier Markets: Evidence from South Asia

&

References

  • Ammer, J.; F. Cai; and C. Scotti. 2010. "Has International Financial Co-Movement Changed? Emerging Markets in the 2007-2009 Financial Crisis." International Finance Discussion Paper no. 1006, Board of Governors of the Federal Reserve System, Washington, DC.
  • Bae, K.-H.; G. Karolyi; and R. Stulz. 2003. "A New Approach to Measuring Financial Contagion." Review of Financial Studies 16, no. 3: 717-763.
  • Bauwens, L.; S. Laurent; and J. Rombouts. 2006. "Multivariate GARCH Models: A Survey." Journal of Applied Econometrics 21, no. 1: 79-109.
  • Beine, M., and B. Candelon. 2011. "Liberalization and Stock Market Co-Movement Between Emerging Markets." Quantitative Finance 11, no. 2: 299-312.
  • Bekaert, G., and C.R. Harvey. 2000. "Foreign Speculators and Emerging Equity Markets." Journal of Finance 55, no. 2: 565-613.
  • Bekaert, G.; C.R. Harvey; C. Lundblad; and S. Siegel. 2007. "Global Growth Opportunities and Market Integration." Journal of Finance 62, no. 3: 1081-1137.
  • Białkowski, J.; M.T. Bohl; and D. Serwa. 2006. "Testing for Financial Spillovers in Calm and Turbulent Periods." Quarterly Review of Economics and Finance 46, no. 3: 397-412.
  • Bikhchandani, S., and S. Sharma. 2000. "Herd Behavior in Financial Markets." IMF Staff Papers 47, no. 3: 279-310.
  • Bollerslev, T. 1990. "Modeling the Coherence in Short-Run Nominal Exchange Rates: A Multivariable Generalized ARCH Model." Review of Economics and Statistics 72, no. 3: 498-505.
  • Bollerslev, T.; R. Engle; and J. Wooldridge. 1988. "A Capital Asset Pricing Model with Time-Varying Covariances." Journal of Political Economy 96, no. 1: 116-131.
  • Christoffersen, P.; V. Errunza; K. Jacobs; and H. Langlois. 2012. "Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach." Review of Financial Studies 25, no. 12: 3711-3751.
  • Diebold, F.X., and K. Yılmaz. 2009. "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets." Economic Journal 119, no. 534: 158-171.
  • Dooley, M.P., and M.M. Hutchison. 2009. "Transmission of the U.S. Subprime Crisis to Emerging Markets: Evidence on the Decoupling/Recoupling Hypothesis." Journal of International Money and Finance 28, no. 8: 1331-1349.
  • Engle, R. 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models." Journal of Business and Economic Statistics 20, no. 3: 339-350.
  • Engle, R., and K. Kroner. 1995. "Multivariate Simultaneous Generalized ARCH." Econometric Theory 11, no. 1: 122-150.
  • Felices, G., and T. Wieladek. 2012. "Are Emerging Market Indicators of Vulnerability to Financial Crises Decoupling from Global Factors?" Journal of Banking and Finance 36, no. 2: 321-331.
  • Forbes, K., and R. Rigobon. 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements." Journal of Finance 57, no. 5: 2223-2261.
  • Froot, K.A.; D.S. Scharfstein; and J. Stein. 1992. "Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation." Journal of Finance 47, no. 4: 1461-1484.
  • Gabrisch, H., and L.T. Orlowski. 2010. "Interest Rate Convergence in Euro-Candidate Countries: Volatility Dynamics of Sovereign Bond Yields." Emerging Markets Finance & Trade 46, no. 6: 69-85.
  • Hacihasanoglu, E.; F.N. Can Simga-Mugan; and U. Soytas. 2012. "Do Global Risk Perceptions Play a Role in Emerging Market Equity Return Volatilities?" Emerging Markets Finance & Trade 48, no. 4: 67-78.
  • Hanousek, J., and E. Kočenda. 2011. "Foreign News and Spillovers in Emerging European Stock Markets." Review of International Economics 19, no. 1: 170-186.
  • Huang, B.-N., and C.-W. Yang. 2000. "The Impact of Financial Liberalization on Stock Price Volatility in Emerging Markets." Journal of Comparative Economics 28, no. 2: 321-339.
  • Johnson, R., and L. Soenen. 2002. "Asian Economic Integration and Stock Market Comovement." Journal of Financial Research 25, no. 1: 145-157.
  • Kaminsky, G.L., and C.M. Reinhart. 2008. "The Center and the Periphery: The Globalization of Financial Turmoil." In Money, Crises and Transition, ed. C.M. Reinhart, C. Végh, and A. Velasco, pp. 171-215. Cambridge: MIT Press.
  • Kaminsky, G.L., and S.L. Schmukler. 1999. "What Triggers Market Jitters? A Chronicle of the Asian Crisis." Journal of International Money and Finance 18, no. 4: 537-560.
  • Miyakoshi, T. 2003. "Spillovers of Stock Return Volatility to Asian Equity Markets from Japan and the U.S." Journal of International Financial Markets, Institutions and Money 13, no. 4: 383-399.
  • Moe, T.; C. Maasry; and R. Tang. 2010. "EM Equity in Two Decades: A Changing Landscape." Global Economics Paper no. 204, Goldman Sachs Global Economics, Commodities and Strategy Research, New York.
  • Morck, R.; B. Yeung; and W. Yu. 2000. "The Information Content of Stock Markets: Why Do Emerging Markets Have Synchronous Price Movements?" Journal of Financial Economics 58, no. 1-2: 215-260.
  • Orlowski, L.T. 2008. "Stages of the 2007-2008 Global Financial Crisis: Is There a Wandering Asset-Price Bubble?" Economics Discussion Paper no. 2008-43, Kiel Institute for the World Economy, Kiel, Germany (available at www.economics-ejournal.org/economics/discussionpapers/2008-43/
  • Orlowski, L.T. 2012. "Financial Crisis and Extreme Market Risks: Evidence from Europe." Review of Financial Economics 21, no. 3: 120-130.
  • Silvennoinen, A., and T. Teräsvirta. 2009. "Multivariate GARCH Models." In Handbook of Financial Time Series, ed. T.G. Andersen, R.A. Davis, J.-P. Kreiß, and T. Mikosch, pp. 201-209. Berlin: Springer.
  • Tse, Y.K, and A.K. Tsui. 2002. "A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time-Varying Correlations." Journal of Business and Economic Statistics 20, no. 3: 351-362.
  • Won, S.; Y.S. Yun; and B.J. Kim. 2013. "Emerging Bond Market Volatility and Country Spreads." Emerging Markets Finance & Trade 49, no. 1: 82-100.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.