Volatility transmission and financial crises

Journal of Economics and Finance

Volumn 30, Issue 3, 2006, Pages 376-390

  Caporale, Guglielmo Maria ^a   Pittis, Nikitas ^b   Spagnolo, Nicola ^b  

^a BRUNEL UNIVERSITY   (United Kingdom)

^b NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 67649983539     PISSN: 10550925     EISSN: 19389744     Source Type: Journal    
DOI: 10.1007/BF02752742     Document Type: Article

References (35)

1. Alba, P., A. Bhattacharya, S. Claessens, L. Hernandez, and S. Ghosh. 1998. "Volatility and Contagion in a Financially Integrated World: Lessons from East Asia's Recent Experience." paper presented at the CEPR/World Bank Conference on Financial Crises: Contagion and Market Volatility, London, 8-9 May 1998.
2. Baig, T., and I. Goldfajn. 1998. "Financial Market Contagion in the Asian Crisis," International Monetary Fund, Working Paper/98/155.
3. Bollerslev, T.P. 1986. "General Autoregressive Conditional Heteroskedasticity," Journal of Econometrics 31: 309-328.
4. Cheung, Y.-L, Y.-W. Cheung, and L.K. Ng. 2002. "East Asian Equity Markets, Financial Crises and the Japanese Currency." Journal of Econometrics 72: 33-48.
5. Cheung, Y.-W, and L.K. Ng. 1996. "A Causality-in-Variance Test and its Application to Financial Market Prices." Journal of Econometrics 72: 33-48.
6. Darbar, S.M. and P. Deb. 1997. "Co-Movements in International Equity Markets," Journal of Financial Research 20: 305-322.
7. Davison, A.C. and D.V. Hinkley. 1997. Bootstrap Methods and Their Application. Cambridge: Cambridge University Press.
8. Diwan, I., and B. Hoekman. 1998. "Competition, Complementarity and Contagion in East Asia." paper presented at the CEPR/World Bank Conference on Financial Crises: Contagion and Market Volatility, London, 8-9 May 1998.
9. Engle, R.F. 1982. "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation." Econometrica 50: 987-1008.
10. Engle, R.F. and K.F. Kroner. 1995. "Multivariate Simultaneous Generalized ARCH." Econometric Theory 11: 122-150.
11. Engle, R.F. and R. Susmel. 1993. "Common Volatility in International Equity Markets." Journal of Business and Economic Statistics 11: 167-176.
12. Eun, C., and S. Shim. 1989. "International Transmissions of Stock Market Movements." Journal of Financial and Quantitative Analysis 24: 241-256.
13. Favero, C. and F. Giavazzi. 2002. "Is the International Propagation of Financial Shocks NonLinear?." Journal of International Economics 57: 231-246.
14. Forbes, K.J., and R. Rigobon. 2002. "No Contagion, Only Interdependence: Measuring Stock Market Co-Movement." Journal of Finance 57: 2223-2261.
15. Glick, R. and A.K. Rose. 1999. "Contagion and Trade: Why Are Currency Crises Regional?." Journal of International Money and Finance 18: 603-617.
16. Hamao, Y., R. Masulis, and V. Ng. 1990. "Correlations in Price Changes and Volatility Across International Stock Markets." Review of Financial Studies 3: 281-307.
17. Hilliard, J. 1979. "The Relationship Between Equity Indices on World Exchanges." Journal of Finance 34: 103-104.
18. Jarque, C.M. and A.K. Bera. 1980. "Efficient Tests for Normality, Heteroskedasticity and Serial Independence of Regression Residuals." Economic Letters 6: 255-259.
19. 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: 537-560.
20. Karolyi, A.G. 1995. "A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada." Journal of Business and Economic Statistics 11: 11-25.
21. Kinderman, A.J. and J.G. Ramage. 1976. "Computer Generation of Normal Random Variables." Journal of the American Statistical Association 71: 893-896.
22. Koch, P. and R. Koch. 1991. "Evolution in Dynamic Linkages Across Daily National Stock Indexes." Journal of International Money and Finance 10: 231-251.
23. Levene, H. 1960. "Contributions to Probability and Statistics: Essays in Honor of Harold Hotelling." I. Olkin et al. (eds.), Stanford University Press, Stanford, CA, 278-292.
24. Lin, W.-L., R.F. Engle, and T. Ito. 1994. "Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility." Review of Financial Studies 7: 507-538.
25. Liu, Y.A. and M.-S.Pan. 1997. "Mean and Volatility Spillover Effects in the U.S. and Pacific-Basin Stock Markets." Multinational Finance Journal 1: 47-62.
26. Liu, Y.A., M.-S. Pan, and J.C.P. Shieh. 1998. "International Transmission of Stock Price Movements: Evidence from the U.S. and Five Asian-Pacific Markets." Journal of Economics and Finance 22: 56-69.
27. Ljung, G.M. and G. E. P. Box. 1978. "On a Measure of Lack of Fit in Time Series Models." Biometrika 65: 297-303.
28. Masson, P. 1999. "Contagion: Macroeconomic Models with Multiple Equilibria." Journal of International Money and Finance 18: 587-602.
29. Reyes, M.G. 2001. "Asymmetric Volatility Spillover in the Tokyo Stock Exchange." Journal of Economics and Finance 25: 206-213.
30. Sander, H. and S. Kleimeier. 2003. "Contagion and Causality: An Empirical Investigation of Four Asian Crises Episodes." International Financial Markets, Institutions and Money 13: 171-186.
31. Schwarz, G. 1978. "Estimating the Dimension of a Model." Annals of Statistics 6: 461-464.
32. Sola, M., F. Spagnolo, and N. Spagnolo. 2002. "A Test for Volatility Spillovers." Economics Letters 76: 77-84.
33. Theodossion, P., and U. Lee. 1993. "Mean and Volatility Spillovers Across Major National Stock Markets: Further Empirical Evidence." Journal of Financial Research 16: 337-350.
34. Walti, S. 2003. "Testing for Contagion in International Financial Markets: Which Way to Go?." FAME Working Paper No. 92.
35. Worthington, A. C., M. Katsuura, and H. Higgs. 2000. "Price Linkages in Asian Equity Markets and the Asian Economic, Currency and Financial Crises." School of Economics and Finance, Queensland University of Technology, Brisbane, Queensland, Discussion Paper No.77.