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Causality and contagion in emerging stock markets

机译：新兴股票市场的因果关系和传染性

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Given the evidence of occasional discrete shifts in the conditional variance process, it is essential to test the volatility transmission between financial markets when a reasonable suspicion exists for structural change. This paper aims to study the interdependencies in terms of stock market volatility and to assess the impact of Global Financial Crisis (GFC) on these interdependencies. We found evidence of structural breaks in the volatility of time series for the majority of markets. The results show also that, in view of the crisis, new significant causal linkages appeared together with the intensification of the causal relationship in 40% of the cases in which we find causality during both the tranquil and crisis period. These additional linkages during crisis periods in excess of those that arise during non-crisis periods contributes significantly in amplifying the international transmission of volatility and the risk of contagion.
机译：考虑到条件方差过程中偶尔出现离散变化的证据，当存在对结构性变化的合理怀疑时，测试金融市场之间的波动传递至关重要。本文旨在研究股票市场波动方面的相互依赖性，并评估全球金融危机（GFC）对这些相互依赖性的影响。我们发现了大多数市场时间序列波动性结构性断裂的证据。结果还表明，鉴于危机，在平静时期和危机时期，我们发现因果关系的案例中有40％出现了新的重大因果关系，并且因果关系的加剧。危机时期的这些额外联系超过非危机时期的联系，在很大程度上加剧了国际动荡和传染风险的传递。

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