Do Global Risk Perceptions Play a Role in Emerging Market Equity Return Volatilities?

Date

2012-07-01

Author

Hacihasanoglu, Erk
Simga-Mugan, F. N. Can
Soytaş, Uğur

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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

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This paper investigates whether global risk perceptions lead emerging market return volatilities. In so doing, we analyzed the period of interest in three parts to determine the effects of the changes in global risk perceptions on the volatility of emerging markets. We uncovered volatility spillover from risk perceptions to the MXEF returns before the crisis. Our results show that all the effects on emerging market volatilities are severed in 2008, during which MXEF follows a downward trend. However, we observe that volatility transmission emerges during the recovery period of MXEF again. Hence, risk perceptions should be considered while analyzing emerging markets.

Subject Keywords

VIX, CVIX, Emerging market equity returns, Risk perceptions, MOVE

URI

https://hdl.handle.net/11511/40044

Journal

EMERGING MARKETS FINANCE AND TRADE

DOI

https://doi.org/10.2753/ree1540-496x480404

Collections

Department of Business Administration, Article

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Citation Formats

E. Hacihasanoglu, F. N. C. Simga-Mugan, and U. Soytaş, “Do Global Risk Perceptions Play a Role in Emerging Market Equity Return Volatilities?,” EMERGING MARKETS FINANCE AND TRADE, pp. 67–78, 2012, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/40044.