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VOLATILITY SPILLOVER BETWEEN USA AND EGYPTIAN CAPITAL MARKETS

Scholedge International Journal of Management & Development

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Field Value
 
Title VOLATILITY SPILLOVER BETWEEN USA AND EGYPTIAN CAPITAL MARKETS
 
Creator Shahwan, Tamer Mohamed; Department Of Accounting, Finance & Banking
Al Ain University Of Science And Technology
Al Ain, United Arab Emirates.
 
Description This paper investigates volatility spillover among the capital markets of USA and Egypt by applying the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model and multivariate regression analysis. During the period from 01/01/2004 to 30/06/2010, daily closing prices of the two market indices (EGX 30 and S&P 500) are examined. The study turns out that evidence of bidirectional volatility spillover between US capital market and Egyptian capital market is observed. These findings suggest that the developed equity markets and the emerging markets are gradually integrated in the sense that the volatility of each market is transmitted to the other markets.
 
Publisher Scholedge R&D Center
 
Contributor —
 
Date 2015-05-28
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.thescholedge.org/index.php/sijmd/article/view/35
 
Source Scholedge International Journal of Management & Development ISSN 2394-3378; Vol 2, No 4 (2015); 38-43
2394-3378
 
Language eng
 
Relation http://www.thescholedge.org/index.php/sijmd/article/view/35/34
 
Rights Copyright (c) 2015 Scholedge International Journal of Management & Development ISSN 2394-3378
http://creativecommons.org/licenses/by-nc/4.0