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The concept of volatility transmission and co-movement has witnessed a resurgence in the international finance literature in recent years after the black swan events which gave evidence of financial market linkages. The purpose of this paper is to examine the dynamic sources of volatility transmission in the foreign exchange market in recent financial market integration in Africa.

A conceptual framework was adapted from the extant literature and was used as the basis of modeling exchange rate volatility transmission. This paper adopts a quantitative research approach and opts for augmented DCC model to empirically unearth the sources of exchange rate volatility transmission.

The key findings of the study are that, the African market is more prone to shock from outside than in the region. Macroeconomic news surprises influence volatility transmission and co-movements. Robust support is found for trade balance, interest rate and gross domestic product. These findings clearly demonstrate the low level of financial development and challenges that sometimes exist in exchange rate-policy implementation by policy makers.

Interested academics and practitioners working in the area might incorporate bilateral investment into the model of exchange rate correlation in future research.

Unilaterally considering exchange rate volatility transmission and subsequent augmentation of the DCC model, this study makes a modest contribution to the examination of exchange rate correlations in Africa. This study makes an important contribution in not only addressing this imbalance, but more importantly improving the relative literature on exchange rate volatility transmission.

This paper aims to analyze the volatility transmission between an energy stock index and a financial stock index in emerging markets during recent high instability periods. The study considers the impact of both the period under analysis and the data frequency on the direction and intensity of the contagion, as well as the effect of the potential spillovers on the risk measures. These questions still lack definitive answers and have become more relevant in a context of financially unsettling events such as COVID-19 crises.

This study employs an extension of the dynamic conditional correlation (DCC) model that allows for the time-varying dependence relationship between the variables. This dependence is analyzed at daily, weekly and monthly basis using data from the Bloomberg platform on energy and stock market indices for emerging markets between 2001 and 2021.

The results for a sample spanning from 2001 to mid-2021 show bidirectional volatility transmission on a daily basis, whereas only evidence of volatility transmission from the financial to the energy exists for weekly and monthly frequencies. However, considering different subsamples of daily data, the authors only find volatility transmission from financial (energy) index to the energy (financial) during the Great Recession (COVID-19) as a consequence of the different source of the shock and transmission channels.

This study reveals that volatility transmission between energy and stocks in emerging markets has changed and presents a unidirectional pattern from energy to financial markets during the COVID-19 period in contrast to calm and the sub-prime crisis intervals. These results differ from previous studies, focused on global markets, that show bidirectional spillovers during this period.

The purpose of this paper is twofold in examining the international transmission of REIT returns volatility. The first purpose is to add to the literature on whether the real estate securities market and the broader equity market are integrated. The second objective of the study is to determine whether geographic risk factors can be transmitted beyond their region of influence.

The study uses the GARCH(1, 1), EGARCH, and GARCH‐M models.

The results show that there are significant international spillovers of REIT returns volatility within the Pacific region. The results also show that there are significant volatility transmissions between the Pacific and the Atlantic regions.

The results are consistent with the implication that the real estate sector and the general equity market are integrated such that geographic risk can be transmitted across national borders. The result will have major implications for international investment strategies.

To date, there has been no published study on the international transmission of REIT returns volatility. This study therefore examines whether the conditional variance of REIT returns of a country is affected by volatility transmission across markets in the same region using four Pacific markets.

The purpose of this study is to examine the transmission of volatility between business confidence index and stock market indices in Greece. The country remains the riskiest project in European Union (EU) and previous studies fail to reach an accurate conclusion regarding the direction of this transmission.

The study covers the period from January 2013 to August 2022 in monthly basis where important economic events occur. Considering that these economic events derive strong volatility moments, the authors adopt a new methodology that measures the transmission of volatility with higher precision. This is the generalized spillover analysis by Diebold and Yilmaz (2009, 2012).

The results indicate that Business Confidence Index (BCI) is the main receiver of volatility spillovers in Greece under all aspects of the used methodology. The specificity of the results shows that business activity through a green growth model is what drives investor confidence and then their activities.

Although a handful of studies have considered the transmission of volatility between BCI and stock market indices, this study contributes in several ways. This study focuses on one country (Greece), avoiding the dispersion of the results from the examination of the relationship in several countries. The used country remains the riskiest project in EU even nowadays, while other studies fail to confirm the main direction of volatility spillovers from business confidence to stock returns. This study covers a period that is ignored by previous studies and includes important economic events. In addition, considering that these economic events derive strong volatility moments, a new methodology is adopted in this field of research that measures the transmission of volatility with higher accuracy.

This paper attempts to model the transmission of volatility between producer and consumer prices in the fresh potato, tomato, and cucumber markets in Greece.

The transmission mechanism of the price volatility is modeled using the most popular multivariate GARCH models while taking into consideration possible asymmetries in the transmission process. The models utilized are the DVECH and the BEKK models from the VECH family, as well as the CCC model and the DCC model from the family of conditional correlation models. The possible asymmetric effects are evaluated using asymmetric GARCH models, as well as estimating volatility impulse responses for independent shocks.

The results reveal that, in the tomato and cucumber markets, which are regulated by the Common Market Organization of fruits and vegetables, producers are less vulnerable to volatility shocks transmitted from consumers. In contrast, in the non-regulated potato market, producers are affected by spillover effects from consumers.

This study is limited to a few commodities (i.e. potatoes, tomatoes, and cucumbers); however, it could be extended to additional commodities.

The results of this study show that, if producers are organized on a cooperative basis within the regulative framework of the CAP, like the tomato and cucumber producers, their place in the food supply chain is strengthened, although the CAP targets more market-oriented agricultural markets that are more exposed to world prices.

The present study attempts to understand the transmission of volatility between producer and consumer prices in the fresh potato, tomato, and cucumber markets in Greece, which is not apparent from previous studies. Furthermore, the volatility clusters that are identified in the present study are associated with certain CAP reforms.

The purpose of this paper is to examine the price level and volatility impacts of oil prices on energy mutual funds (EMFs). The authors also examine specific fund characteristics which might influence those interactions.

The authors test for volatility transmission between the oil prices and the funds in the sample. Later, the authors test to see which fund characteristics impact these volatility interactions.

The results show oil price movements lead majority of sample EMFs. The authors also find a volatility feedback relationship with most of the sample. Furthermore, the authors show the fund characteristics to be important indicators of these interactions. Morningstar rating, market capitalization and management tenure are found to be significant drivers of the relationships between EMFs and oil prices.

To the knowledge, there is not a study in literature which examines these relationships.

This study uses a two‐step GARCH‐M procedure to observe mean‐return and volatility transmissions between Latin American markets and to Latin America from external markets during the period 1993–2000. The results indicate that mean‐return transmissions are common both within region and from external markets. The volatility transmission results are consistent with contagion theory and indicate that traders use both domestic news events as well as information contained by volatility in other markets in their information set.

The purpose of this paper is to examine volatility transmissions between portfolios of cross‐listed equities and exchange rate differences and also the volatility persistence for home, foreign equities, and exchange rate differences in the UK and German markets.

A primary focus of this paper is to see if there is an impact first on the volatility persistence for foreign equities that are listed in the UK and German markets, second on the respective home portfolios of cross‐listed equities, and third on the exchange rate differences. In addition, whether there are any bilateral spillovers between the following equity portfolios: foreign cross‐listed equities, home cross‐listed equities, and also local or global exchange rate differences are investigated.

The paper finds that the volatility persistence is more prominent than error persistence from cross‐listed equities, foreign or home, and the exchange rate differences. Furthermore, the transmission mechanism indicates a bilateral integration process in some of the cases that were examined. Based on these results, it is concluded that in the UK market the foreign cross‐listings affect less the domestic equities compared to the German market.

This paper examines the interdependence of portfolios of home and foreign equities for cross‐listings that belong to the same stock exchange with two exchange rates, a local and a global one in order to provide more evidence in this area of literature.

This paper aims to investigate the return links and volatility transmission between five major equity markets of the Latin American region and the USA over the period 1993-2012.

The authors employ a multivariate vector autoregressive moving average – generalized autoregressive conditional heteroskedasticity (VAR-GARCH) methodology which allows for cross-market transmissions in both return and volatility. Moreover, we show how the obtained results can be used to design internationally diversified portfolios involving the Latin American assets and to analyze the effectiveness of hedging strategies.

The results point to the existence of substantial cross-market return and volatility spillovers and are thus crucial for international portfolio management in the Latin American region. However, the intensity of shock and volatility cross effects varies across the studied markets.

The optimal weights and hedging ratios that we compute from the observed return and volatility spillovers, suggest that adding the Latin American assets helps improve the risk-adjusted return of the internationally diversified portfolios as well as reduce their risk exposure. For policymakers and market authorities, an increase in the level of shock interactions and volatility transmission between the US and Latin American equity markets as well as among these Latin American markets implies that the stability of the financial system in one country can be deeply affected by the disturbances in another country.

The authors extend the previous works on Latin American emerging markets by examining the extent of shock and volatility transmission as well as portfolio design and management from the point of view of both the US (global) and Latin American investors.

The study uses the multivariate GARCH-BEKK model (which was first proposed by Baba et al. (1990) and then further developed by Engle and Kroner (1995)) to examine the return and volatility spillover between India and four leading Asian (namely, China, Japan, Singapore and Hong Kong) and two global (namely, the United Kingdom and the United States) equity markets.

The study employs a multivariate GARCH-BEKK model to quantify return correlation and volatility transmission across the pre- and post-2008 global financial crisis periods (apart from other conventional time series modelling like cointegration, Granger causality using vector error correction model (VECM)).

The results show a tendency of the Indian stock market index to move along with the US and Hong Kong market indices. The decrease in the value of the co-integration coefficient during the recession was explained by reduced investor confidence in developing countries. The result further shows a clear distinction in terms of volatility spillover between the Asian market vis-a-vis US and UK markets. Volatility transmission from India to Asian markets was found to be significantly higher as compared to the US and UK. So also, the study’s results show a puzzling result giving us comparable co-integration ranks for phase 2 (expansion) and phase 3 (slow-down) of the business cycle in most cases.

In Granger causality testing, the results were unable to ascertain the difference between phase 2 (expansion) and phase 3 (slowdown). However, the multivariate GARCH (MGARCH)-BEKK model showed a clear reduction in volatility transmission to NIFTY50 (is the flagship index on the National Stock Exchange of India Ltd. (NSE)) as India entered slow-down. This shows that the Indian economy does go through different business cycles, and the changes in parameters hence prove hypothesis 3 to be true with respect to volatility transmission to India from International markets.

The results show that for all countries, the volatility transmitted to India increases significantly going from phase 1 (recession) to phase 2 (expansion) and reduces again once the countries enter slow-down in phase 3 (slowdown). This shows that during expansion shocks and impulses in international markets affect the Indian markets significantly, supporting the increase in co-integration in phase 2 (expansion). During expansion, developing markets like India become profitable for investors, due to the high growth rate when compared to developed countries. This implies that a significant amount of capital enters Indian markets, which is susceptible to the volatility of international markets. The volatility transmission from India to the US and UK was insignificant in phase 1 (recession and recovery) and phase 3 (slow-down) showing a weak linkage between the markets during volatile time periods.