Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies
Journal: Cogent Economics & Finance
Year: 2016

This paper investigates linkages among equity market returns and volatility spillovers in the following countries: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies are applied to daily data on country exchange-traded funds (ETF) based on the MSCI indices from 31 March 2011 to 11 March 2016. The results of the analysis show the existence of significant co-movements of returns among the countries in the sample. ETF return