Volatility Spillovers from US to Emerging Seven Stock Markets: Pre & Post Analysis of GFC
This study is conducted to check volatility spillovers from US to Emerging seven stock markets before and after the Global Financial Crisis through the VAR-GARCH model. The pre GFC sub sample data ranges from January 8, 2002 to June 29, 2007 and Post GFC data starts from July 4, 2009 to December 28, 2014. The outcomes of the VAR-GARCH model show that there are significant volatility spillovers from US stock market to emerging seven stock markets in most cases. The correlations reveal that the US stock market is strongly correlated with the Brazilian stock exchange, Mexican stock exchange and Russian stock exchange. These findings suggest that the investors may consider geographical proximity into consideration. The empirical results also mention that the Chinese stock market, Indonesian stock market and Indian stock market have less effect by the volatility spillovers from US stock market. The findings also demonstrate that Brazilian, Mexican and Russian stock markets observed rapid increase in the CCC with the US market.
How to Cite
The Author(s) must make formal transfer of copyright for each article prior to publication in the International Journal of Contemporary Economics and Administrative Sciences. Such transfer enables the Journal to defend itself against plagiarism and other forms of copyright infringement. Your cooperation is appreciated. You agree that copyright of your article to be published in the International Journal of Contemporary Economics and Administrative Sciences is hereby transferred, throughout the World and for the full term and all extensions and renewals thereof, to International Journal of Contemporary Economics and Administrative Sciences.
The Author(s) reserve(s): (a) the trademark rights and patent rights, if any, and (b) the right to use all or part of the information contained in this article in future, non-commercial works of the Author's own, or, if the article is a "work-for-hire" and made within the scope of the Author's employment, the employer may use all or part of the information contained in this article for intra-company use, provided the usual acknowledgements are given regarding copyright notice and reference to the original publication.
The Author(s) warrant(s) that the article is Author's original work, and has not been published before. If excerpts from copyrighted works are included, the Author will obtain written permission from the copyright owners and shall credit the sources in the article. The author also warrants that the article contains no libelous or unlawful statements, and does not infringe on the rights of others. If the article was prepared jointly with other Author(s), the Author agrees to inform the co-Author(s) of the terms of the copyright transfer and to sign on their behalf; or in the case of a "work-for-hire" the employer or an authorized representative of the employer.
The journal is registered with the ISSN : 1925-4423.
IJCEAS is licensed under a Creative Commons Attribution 4.0 International License.
This license lets others distribute, remix, tweak, and build upon your work, even commercially, as long as they credit you for the original creation. This is the most accommodating of licenses offered. Recommended for maximum dissemination and use of licensed materials.