Integration and the Asymmetric Transmission of Volatility
Author | : Bruce Allen Hearn |
Publisher | : |
Total Pages | : 46 |
Release | : 2008 |
ISBN-10 | : OCLC:1291127912 |
ISBN-13 | : |
Rating | : 4/5 (12 Downloads) |
Download or read book Integration and the Asymmetric Transmission of Volatility written by Bruce Allen Hearn and published by . This book was released on 2008 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Considerable attention has been given to market integration and volatility transmission between national stock markets, although this has previously been confined to OECD countries or emerging markets in Latin America and Asia-Pacific. Using a new and comprehensive dataset, this paper finds evidence of volatility transmission between ten rival markets in SSA, noting that this volatility is intrinsically asymmetric. Extensive spillovers are found across these markets, some uni-directional and others bilateral. However, continued illiquidity, incomplete institutions and low levels of domestic participation indicate that an integrated financial community remains premature, and considerable regulatory reform and harmonisation will be necessary before this can be achieved.