Title: Risk Spillover between the GIPSI Economies and Egypt, Saudi Arabia, and Turkey

Author (s):: Kumar D.

Journal: Emerging Markets Finance and Trade

Month and Year: October 2015

Abstract: 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. © Copyright © Taylor & Francis Group, LLC.

Document Type: Article

DOI: https://doi.org/10.1080/1540496X.2015.1080520