Abstract
This paper will examine the volatility of markets returns, dynamic conditional covariance and dynamic conditional correlation between the equity markets of developed countries (US and UK) and the equity markets of developing countries (Kuwait and United Arab Emirates). A multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model will be used; Diagonal VEC (DVEC) - MGARCH to identify the source and magnitude of volatility. The results will show the relation between the global mature market of USA and the UK on the emerging markets of Kuwait (K) and UAE.
| Original language | English |
|---|---|
| Pages (from-to) | 24-36 |
| Number of pages | 13 |
| Journal | International Journal of Business and Management |
| Volume | 5 |
| Issue number | 7 |
| Publication status | Published - 2010 |
Keywords
- stock exchanges
- developing countries
- international economic relations