Risk spillover between the GIPSI Economies and Egypt, Saudi Arabia, and Turkey

• Autores: Dilip Kumar
• Localización: Emerging Markets Finance & Trade, ISSN-e 1558-0938, Vol. 51, Nº. 6, 2015
• Idioma: inglés
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• Resumen

  • In this article, we examine the upside and downside risk spillover effects between the GIPSI economies (Greece, Ireland, Portugal, Spain, and Italy) and Egypt, Saudi Arabia, and Turkey using a kernel-based test as proposed by Hong et al. (2009). The results reveal that there exists a two-way as well as one-way downside risk spillover for most of the pairs between the GIPSI economies and Egypt, Saudi Arabia, and Turkey. However, we find significant two-way upside risk spillover effects between Egypt and Ireland, Italy, and Spain. The one-way upside risk spillover is significant only from Ireland, Italy, and Spain to Egypt.