A Multivariate Investigation of the Volatilities and Co-Volatilities of Equity Markets between Australia and Three Major Asian Pacific Equity Markets.

Budd, Bruce Q.

doi:10.2139/ssrn.2484706

Cited by 1 publication

(4 citation statements)

References 29 publications

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“…of stock market volatility well as added competitive market pressure on corporations to seek capital in the oversee within a climate of increasing overseas' investment options (Budd, 2014).…”

Section: Investigationmentioning

confidence: 99%

“…When the USA faced the crisis, contagion captures other countries as reported by Al-Zu'bi et al (2016). These waves of global asset price movements have been further enthused by the improved cooperation of heightened cross-border capital flows, transparency of transactions via advance technology, the ease of capital mobility regulations, as well as added competitive market pressure on corporations to seek capital in the oversee within a climate of increasing overseas' investment options (Budd, 2014).…”

Section: Introductionmentioning

confidence: 99%

“…Several literatures investigated the volatility between stock exchanges which employ generalized autoregressive conditional heteroskedasticity (GARCH) models (Al Rjoub, 2009), (Budd, 2014). Several literatures provide evidence on linkages and contagion effects among different countries and their respective financial markets as well as monetary policy (see for example Hussain, 2010).…”

Section: Introductionmentioning

confidence: 99%

“…In a world of market uncertainties, the study of cluster volatility is of crucial prominence to the research topic of global risk. (Budd, 2014).…”

Section: Introductionmentioning

confidence: 99%

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An investigation of stock market volatility: evidence from Dubai financial market

Salameh

Al-Zu’bi

2018

JEAS

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Purpose The purpose of this paper is to assess the sources of Dubai Financial Market Index volatility shocks if they are from its own or previous shocks on the one hand, or if they are out board shocks (FSTE and S&P500) on the other. Design/methodology/approach A daily time series data were collected over the period 1st January 2014-31st December 2015 and the generalized autoregressive conditional heteroskedasticity (GARCH) methodology was implemented. Findings Empirically, the authors find that the current volatility of Dubai Financial Market Index is largely dependent on its own shocks and part of the external shock; in particular, S&P500. However, other external volatility (FSTE) cannot contribute to this volatility. Furthermore, our findings indicate that Abu Dhabi stock Exchange (APX) affects Dubai Financial Market Index. Practical implications These results conclude that Securities Regulation Department in the federal state of United Arab Emirates had captured the effect of outside shocks from the UK only, but not from USA; this is basically due to the strong ties between the two countries. Accordingly, UAE investors seek capital outside their home country within a climate of increasing overseas’ investment options in the UK. More transparency of transactions via information technology will increase the efficiency of Dubai Financial Market. Originality/value To the best of the knowledge, this is the first work that shows the external and internal sources of volatility shocks at once; previous studies have focused almost exclusively on one type of shocks. To investigate DFM volatility shocks, the authors employed GARCH methodology; this method is an advanced econometric method and is often a preferred method to depict actual effects because it provides a more real-world context than other forms when trying to predict volatility shocks of financial instruments.

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Section: Investigationmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%