Return and volatility spillovers among CIVETS stock markets |
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Authors: | Turhan Korkmaz Emrah İ. Çevik Erdal Atukeren |
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Affiliation: | 1. Zonguldak Karaelmas University, Turkey;2. ETH Zurich, KOF Swiss Economic Institute, CH-8092 Zurich, Switzerland;3. SBS Swiss Business School, Balz-Zimmermannstr. 34, CH-8302 Kloten, Switzerland;4. BSL Business School Lausanne, Rte. de la Maladiére 21, PO Box 73, CH-1022 Chavannes, Switzerland |
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Abstract: | Coined in 2009, the CIVETS refers to Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa as a new group of frontier emerging markets with young and growing populations and dynamic economies. We provide a first look into the return and volatility spillovers between the CIVETS countries by employing causality-in-mean and causality-in-variance tests. The empirical results indicate that the contemporaneous spillover effects are generally low. Nevertheless, CIVETS stock markets may exhibit higher degrees of co-movements at times. The structure of the causal relationships further suggests the presence of intra-regional and inter-regional return and volatility interdependence effects. |
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