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Within and Cross Volatility Contagion Effects among Stock, Crude and Forex Returns: Empirical Evidence from Five Emerging Economies
Open accessAbstract
The paper examines the spillover effects of return volatility among stock market index, foreign exchange market and WTI crude oil market across five emerging nations. Here a Trivariate Diagonal BEKK-GARCH model is used to estimate the time-varying conditional variance and to test the own-volatility spillover effects of returns among the three underlying variables. We find that significant own volatility spillover exists in the WTI returns followed by that of stock returns and forex returns. Further, fluctuations in WTI returns exert considerable influence over the stock market volatilities. The lagged variance of the variables as well as their lagged squared residuals from the mean equation has a positive and significant impact on the current volatility in most cases. The findings of the study are of pertinent importance to financiers, economists, investors and policymakers.
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Research works printed but not linked: 13
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Cited by
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Ali, P. (2022) · AFRE (Accounting and Financial Review) · doi:10.26905/afr.v5i1.7547 · Cited by 1
Metadata
- Authors
- Varghese, G.
- Affiliations
- IFMR Graduate School of Business (IN)
- Corresponding author
- Varghese, George
- ORCID
- Varghese, George
- Venue
- Theoretical Economics Letters
- Publisher
- Scientific Research Publishing, Inc.
- Published
- 2018
- Volume
- 08
- Issue
- 08
- Pages
- 1475-1492
- ISSN
- 2162-2078 (ISSN-L)
- 2162-2086
- OpenAlex
- W2806739678
- Cited by
- 3
- References
- 0
- Citations by year
- 2022: 1 · 2021: 1 · 2020: 1
- FWCI
- 0.66
- Type
- journal article
- Language
- en
- Open access
- diamond
- doi.org
- Locations
- Theoretical Economics Letters (publishedVersion, cc-by)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Market Dynamics and Volatility
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › COVID-19 Pandemic Impacts
- Keywords
- volatility spillovers, volatility contagion, stock market volatility, oil prices, WTI crude oil, exchange rate returns, emerging markets, cross-market linkages
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- CoChat. (2026). Citation check: Within and Cross Volatility Contagion Effects among Stock, Crude and Forex Returns: Empirical Evidence from Five Emerging Economies. https://app.cochat.ai/papers/10.4236/tel.2018.88095
- The paper
- Varghese, G. (2018). Within and Cross Volatility Contagion Effects among Stock, Crude and Forex Returns: Empirical Evidence from Five Emerging Economies. Theoretical Economics Letters. https://doi.org/10.4236/tel.2018.88095
