Transmission of Volatility across Markets: A Study of Co-Movement between Australian and Emerging Equity Markets

10.6292/AFPF.2011.04.05

Rakesh Gupta；Thadavillil Jithendranathan

Emerging markets ； Transmission of volatility ； Australia

Advances in Financial Planning and Forecasting

4期（2011 / 03 / 01）

99 - 122

英文

The main purpose of this paper is to study the co-movement between emerging market equity returns and Australian equity returns by using an empirical model. A market volume and absolute price change was used to identify the days when there was a significant shock in the Australian market as well as the other major equity markets. Holding the effects of major markets constant, there is sufficient evidence that Australian shocks get transmitted to emerging markets in Asia, Latin America, Europe, and Africa. Among the regional groups, European market returns exhibit the highest level of reaction to shocks in Australia, with some of the Asian markets also showing similar results. Latin American stocks exhibit the least amount of reaction to Australian shocks.

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