ABSTRACT
This chapter investigates whether the results pertaining to the short-term interaction between markets are further supported when autoregressive conditional heteroskedasticity (ARCH) effects are taken into account. Thus, the results provide an indication as to which ones of these earlier results can be accepted with a high degree of confidence. The chapter examines the moment linkages among the three groups of markets allowing for conditional heteroskedastic forecast error variances. It tests whether there are significant spill-overs in conditional mean across markets using standard GARCH and exponential GARCH (or EGARCH) models for conditional heteroskedasticity. The chapter discusses a brief review of the major literature on equity market integration that uses ARCH-based methodology. Finally, it presents the empirical results and the conclusion.
