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Time-varying Return and Volatility Spillover among EAGLEs Stock Markets: A Multivariate GARCH Analysis

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  • Usman M. Umer, Metin Coskun, Kasim Kiraci

    (Anadolu University, Turkey)

Abstract

This study investigates the presence of return and volatility spillover across EAGLEs stock markets, namely China, India, Indonesia, Russia, Brazil, Turkey and Mexico. A multivariate GARCH DCC and BEKK frameworks are employed by classifying the total sample (i.e. from January 2002 to February 2017) into three sub-periods according to the 2008 Global financial crisis. The result shows a significant and positive spillover effect among stock markets in the pre-crisis and post-crisis periods. The transmission of spillover from external markets intensely influenced by US stock market. Furthermore, strong inter-connection and channel of spread observed among EAGLEs stock market during the post-crisis period.

Suggested Citation

  • Usman M. Umer, Metin Coskun, Kasim Kiraci, 2018. "Time-varying Return and Volatility Spillover among EAGLEs Stock Markets: A Multivariate GARCH Analysis," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 3(1), pages 23-42, March.
    • Handle: RePEc:gei:jnlfer:v:3:y:2018:i:1:p:23-42
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