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Subprime crisis and volatility spillover

Author

Listed:
  • Mouna Abdelhedi-Zouch
  • Mouna Boujelbene Abbes
  • Younes Boujelbene

Abstract

The subprime financial crisis has sparked our interest in identifying channels through which US crisis spread across 20 developed and emerging stock markets. Empirical results of GARCH and EGARCH estimated models show a high persistence and asymmetric effect of volatility. Estimation of an augmented GARCH model indicates that the US current crisis spilled over American, European, Asian and Arabic financial markets. Interestingly, there are significant spillovers of volatility to Asian markets from UK and Swiss. Financial markets of Japan, Korea and especially Singapore constitute a channel through which crises are transmitted across global equity return.

Suggested Citation

  • Mouna Abdelhedi-Zouch & Mouna Boujelbene Abbes & Younes Boujelbene, 2011. "Subprime crisis and volatility spillover," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 4(1), pages 1-20.
    • Handle: RePEc:ids:ijmefi:v:4:y:2011:i:1:p:1-20
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    Citations

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    Cited by:

    1. Lidija Dedi & Burhan F. Yavas, 2016. "Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1266788-126, December.
    2. Prakash L. Dheeriya & Fahimeh Rezayat & Burhan F. Yavas, 2014. "Relations between Volatility and Returns of Exchange Traded Funds of Emerging Markets and of USA," Review of Economics & Finance, Better Advances Press, Canada, vol. 4, pages 44-46, Feburary.
    3. Yavas, Burhan F. & Dedi, Lidija, 2016. "An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries," Research in International Business and Finance, Elsevier, vol. 37(C), pages 583-596.
    4. Mouna Abbes, 2013. "Does Overconfidence Bias Explain Volatility During the Global Financial Crisis?," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 19(3), pages 291-312, February.

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