On International Financial Spillovers to Frontier Markets * Galin Todorov † Prasad Bidarkota ‡ Florida International University Fall 2010 Abstract We explore the degree to which stock index returns and conditional volatility of 21 frontier markets were affected by fluctuations on the American stock market between December 1st 2005 and January 15th 2010. We find weak, positive return spillovers from US to 17 frontier markets. For four countries, Jordan, Lebanon, Nigeria, and Kenya, we find weak negative return spillovers from the US, implying possible diversification opportunities. For thirteen markets the influence of past local shocks is greater than the influence of current shocks from the US, and for sixteen markets local past volatility has stronger impact than volatility from the US. Key phrases: Frontier markets; Emerging markets; spillovers; contagion; time- varying volatility JEL codes: F36, G15, C58 * Corresponding author: Galin Todorov, Department of Economics, Florida International University, FL 33199, USA, telephone:(305) 348-2316, e-mail: gtodorov@fiu.edu. † Address: Department of Economics, Florida International University, FL 33199, USA, tele- phone:(305) 348-2316, e-mail: gtodorov@fiu.edu. ‡ Address: Department of Economics, Florida International University, FL 33199, USA, tele- phone:(305) 348-6362, e-mail: bidarkot@fiu.edu.