On international financial spillovers to frontier markets
by Galin Todorov; Prasad Bidarkota
International Journal of Economics and Business Research (IJEBR), Vol. 5, No. 4, 2013

Abstract: We explore the degree to which stock index returns and conditional volatility of 21 frontier markets were affected by fluctuations on the US stock market between December 1st 2005 and January 15th 2010. We find weak, positive return spillovers from the USA to 17 frontier markets. For four countries, Jordan, Lebanon, Nigeria, and Kenya, we find weak negative return spillovers from the USA, implying possible diversification opportunities. For 13 markets, the influence of past local shocks is greater than the influence of current shocks from the USA, and for 16 markets, local past volatility has stronger impact than volatility from the USA.

Online publication date: Mon, 30-Dec-2013

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