Causality and contagion in emerging stock markets
Given the evidence of occasional discrete shifts in the conditional variance process, it is essential to test the volatility transmission between financial markets when a reasonable suspicion exists for structural change. This paper aims to study the interdependencies in terms of stock market volati...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2018-12-01
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| Series: | Borsa Istanbul Review |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845018300875 |
| _version_ | 1811205268909850624 |
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| author | Emna Abdennadher Slaheddine Hellara |
| author_facet | Emna Abdennadher Slaheddine Hellara |
| author_sort | Emna Abdennadher |
| collection | DOAJ |
| description | Given the evidence of occasional discrete shifts in the conditional variance process, it is essential to test the volatility transmission between financial markets when a reasonable suspicion exists for structural change. This paper aims to study the interdependencies in terms of stock market volatility and to assess the impact of Global Financial Crisis (GFC) on these interdependencies. We found evidence of structural breaks in the volatility of time series for the majority of markets. The results show also that, in view of the crisis, new significant causal linkages appeared together with the intensification of the causal relationship in 40% of the cases in which we find causality during both the tranquil and crisis period. These additional linkages during crisis periods in excess of those that arise during non-crisis periods contributes significantly in amplifying the international transmission of volatility and the risk of contagion. Keywords: Causality, Contagion, Structural breaks, Global financial crisis, Emerging stock markets, Granger causality test |
| first_indexed | 2024-04-12T03:29:08Z |
| format | Article |
| id | doaj.art-09f24cd5309e4591a0c07fd074c187f2 |
| institution | Directory Open Access Journal |
| issn | 2214-8450 |
| language | English |
| last_indexed | 2024-04-12T03:29:08Z |
| publishDate | 2018-12-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Borsa Istanbul Review |
| spelling | doaj.art-09f24cd5309e4591a0c07fd074c187f22022-12-22T03:49:36ZengElsevierBorsa Istanbul Review2214-84502018-12-01184300311Causality and contagion in emerging stock marketsEmna Abdennadher0Slaheddine Hellara1Higher Institute of Management of Sousse, University of Sousse, Tunisia; Corresponding author. Higher Institute of Management of Sousse, University of Sousse, Abedelaziz El Bahi Street, B.P. 763, 4000 Sousse, Tunisia.Higher Institute of Management of Tunis, University of Tunisia, TunisiaGiven the evidence of occasional discrete shifts in the conditional variance process, it is essential to test the volatility transmission between financial markets when a reasonable suspicion exists for structural change. This paper aims to study the interdependencies in terms of stock market volatility and to assess the impact of Global Financial Crisis (GFC) on these interdependencies. We found evidence of structural breaks in the volatility of time series for the majority of markets. The results show also that, in view of the crisis, new significant causal linkages appeared together with the intensification of the causal relationship in 40% of the cases in which we find causality during both the tranquil and crisis period. These additional linkages during crisis periods in excess of those that arise during non-crisis periods contributes significantly in amplifying the international transmission of volatility and the risk of contagion. Keywords: Causality, Contagion, Structural breaks, Global financial crisis, Emerging stock markets, Granger causality testhttp://www.sciencedirect.com/science/article/pii/S2214845018300875 |
| spellingShingle | Emna Abdennadher Slaheddine Hellara Causality and contagion in emerging stock markets Borsa Istanbul Review |
| title | Causality and contagion in emerging stock markets |
| title_full | Causality and contagion in emerging stock markets |
| title_fullStr | Causality and contagion in emerging stock markets |
| title_full_unstemmed | Causality and contagion in emerging stock markets |
| title_short | Causality and contagion in emerging stock markets |
| title_sort | causality and contagion in emerging stock markets |
| url | http://www.sciencedirect.com/science/article/pii/S2214845018300875 |
| work_keys_str_mv | AT emnaabdennadher causalityandcontagioninemergingstockmarkets AT slaheddinehellara causalityandcontagioninemergingstockmarkets |