Mean and Volatility Spillover Effects in the G7 and BRICs Stock Markets

• Main Authors: Chou,Wan Yin, 周宛瑩
• Other Authors: Shieh,Shu zhen
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/37941217005840434410

碩士 === 國立政治大學 === 國際經營與貿易研究所 === 98 === This paper investigates the mean return and volatility spillover effects from the U.S. to Canada, Italy, England, France, Germany, Japan and the BRICs by using ARMA(1,1)-GARCH(1,1)-M model of Chelley-Steeley and Steeley(1996), furthermore, we explore the conditional correlations between them. The empirical results from examining the data for the period of 1992 to 2010 suggests that international market contagion exactly plays an important role in the transmission mechanism, and the U.S. market is influential in transmitting returns and volatilities to the G7 and the BRICs countries. Moreover, we found that the spillover effect of Brazil after financial crisis is the greatest, and the G7 countries are more inclined to be affected by the U.S. than Russia, India, and China.