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Intra- and inter-regional spillovers between emerging capital markets around the world

Lookup NU author(s): Professor Bartosz GebkaORCiD

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Abstract

In this paper, returns and volatility spillovers between emerging capital markets of Central and Eastern Europe, Latin America, and South-East Asia are investigated. We distinguish between spillovers from countries located in one region (intra-regional) and in different regions (inter-regional) after controlling for shocks originating at home and on the global market. Both intra- and inter-regional spillovers are significant, with the former being more pronounced than the latter. Our findings indicate that linkages between emerging markets are not solely due to their common dependence on the global capital market and highlight the importance of common factors in intra-regional interdependencies.

Publication metadata

Author(s): Gebka B, Serwa D

Publication type: Article

Publication status: Published

Journal: Research in International Business and Finance

Year: 2007

Volume: 21

Issue: 2

Pages: 203-221

Print publication date: 01/06/2007

ISSN (print): 0275-5319

Publisher: J A I Press Inc.

URL: http://dx.doi.org/10.1016/j.ribaf.2006.03.005

DOI: 10.1016/j.ribaf.2006.03.005

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