Volatility Spillover: Dynamic Regional And World Effects
This paper investigates the dynamic nature and determinants of volatility spillovers from European region and world to the five emerging European equity markets that are not members of the European Monetary Union. Using a multi-factor model with time-varying loadings estimated in three stages, the results show significant world and regional effects on volatility. The influence of economic determinants on the regional effect seems to be greater than that on the world effect. Furthermore, this paper provides evidence that economic growth and exchange rate can predict the volatility spillover intensities in the Czech Republic.