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On international financial spillovers to frontier markets

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  • Galin Todorov
  • Prasad Bidarkota

Abstract

We explore the degree to which stock index returns and conditional volatility of 21 frontier markets were affected by fluctuations on the US stock market between December 1st 2005 and January 15th 2010. We find weak, positive return spillovers from the USA to 17 frontier markets. For four countries, Jordan, Lebanon, Nigeria, and Kenya, we find weak negative return spillovers from the USA, implying possible diversification opportunities. For 13 markets, the influence of past local shocks is greater than the influence of current shocks from the USA, and for 16 markets, local past volatility has stronger impact than volatility from the USA.

Suggested Citation

  • Galin Todorov & Prasad Bidarkota, 2013. "On international financial spillovers to frontier markets," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 5(4), pages 433-452.
    • Handle: RePEc:ids:ijecbr:v:5:y:2013:i:4:p:433-452
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    References listed on IDEAS

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    1. Ngene, Geoffrey & Post, Jordin A. & Mungai, Ann N., 2018. "Volatility and shock interactions and risk management implications: Evidence from the U.S. and frontier markets," Emerging Markets Review, Elsevier, vol. 37(C), pages 181-198.

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