Return and volatility spillovers among CIVETS stock markets
Turhan Korkmaz, Erdal Atukeren, Emrah Ismail Cevik
article (Uluslararası, Hakemli) | Yazar(lar): Turhan Korkmaz, Erdal Atukeren, Emrah Ismail Cevik | Yıl: 2012 | Dergi/Kurum: EMERGING MARKETS REVIEW | İndeks: WOS.SSCI | DOI: 10.1016/j.ememar.2012.03.003 | Anahtar Kelimeler: CIVETS, Stock markets, Spillovers, Causality-in-variance, Volatility breaks, Emerging markets —
Coined in 2009, the CIVETS refers to Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa as a new group of frontier emerging markets with young and growing populations and dynamic economies. We provide a first look into the return and volatility spillovers between the CIVETS countries by employing causality-in-mean and causality-in-variance tests. The empirical results indicate that the contemporaneous spillover effects are generally low. Nevertheless, CIVETS stock markets may exhibit higher degrees of co-movements at times. The structure of the causal relationships further suggests the presence of intra-regional and inter-regional return and volatility interdependence effects. (C) 2012 Elsevier B.V. All rights reserved.