Author(s)

Ying Yu, Ronghua Yi

Corresponding Author

Ying Yu

ABSTRACT

A growing number of foreign companies from emerging economies are listed in the US, so a BEKK multi-GARCH model is used to analyze the linkage and spillover effect between the US and emerging economies stock market. The results show that the US market has one-way mean spillover effects on emerging economies. There is a two-way volatility spillover effect between the South African market and the US market. There is a one-way volatility spillover effect in the Korean, the Indian and the Chilean markets and the US market. And there is no volatility spillover in the Chinese mainland, the Brazilian and the Mexican markets and the US market.

KEYWORDS

Emerging economies, spillover effect, market linkage