"Return and volatility spillovers among CIVETS stock markets" by Turhan Korkmaz, Emrah İ. Çevik et al.
 

Document Type

Article Restricted

Publication Date

2012

Journal Title

Emerging Markets Review

Volume Number

13

Issue Number

2

First Page

230

Last Page

252

Abstract

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.

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