01946cas a2200277 a 4500 AALejournalIMF005506 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451871449 1018-5941 BD-DhAAL BD-DhAAL Caporale, Guglielmo. Volatility Spillovers and Contagion from Mature to Emerging Stock Markets / Guglielmo Caporale, Marianne Schulze-Ghattas, John Beirne, Nicola Spagnolo. Washington, D.C. : International Monetary Fund, 2008. 1 online resource (40 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets. Mode of access: Internet Beirne, John. Schulze-Ghattas, Marianne. Spagnolo, Nicola. IMF Working Papers; Working Paper ; No. 2008/286 Full text available on IMF http://elibrary.imf.org/view/journals/001/2008/286/001.2008.issue-286-en.xml IMF e-Library