An Empirical Analysis of the Volatility Spillover Effect between World-Leading and the Asian Stock Markets: Implications for Portfolio Management

Yousaf, Imran; Ali, Shoaib; Wong, Wing‐Keung

doi:10.3390/jrfm13100226

Cited by 16 publications

(6 citation statements)

References 53 publications

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“…Discussing regional market integration within the Indian subcontinent and the implications of these on the BSE Oil and gas sector as compared to the rest of sectors could prove to be an interesting line of research. Yousaf, Ali & Wong (2020), Volatility Spillovers between World Leading and Asian Stock Markets: An Empirical Analysis [11]. The study provides a glimpse of how global market dynamics impact the local and regional markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Empirical Analysis in The Concept of Indian Financial Market Using Machine Learning

2024

J Invest Bank Finance

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This study aims to examine the relationships among the constituents of the Indian stock market, specifically, to examine the relationship between the S&P BSE Oil & Gas index and four other sectors, such as, S&P BSE IT, S&P BSE energy, S&P BSE auto, and S&P BSE power are being specifically explored. The aim of this study is to understand the potential effects of variations in the BSE Oil & Gas index on these industries. For a variety of stakeholders, including investors, politicians, and market analysts, this study is vital because it offers critical insights into the economies that form the basis of India. With the help of various methodologies, this study examines historical stock price fluctuations by using statistical methods and data analysis, with a focus on time series modelling. In order to assess and comprehend the possible effects of changes in the Indian stock market, this study carefully looks at important financial indicators and pertinent market trends. Examining any asymmetries in these relationships will help determine if the oil and gas business experiences positive or negative shocks, and which ones have distinct effects on the various sectors under consideration. This study is one of various contributions into the global discourse on market interdependence that provides useful guidelines for the Indian stakeholder in handling their vital segments of the markets in India.

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Section: Literature Reviewmentioning

confidence: 99%

Empirical Analysis in The Concept of Indian Financial Market Using Machine Learning

2024

J Invest Bank Finance

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“…However, no such pattern emerged during the Chinese stock market crash. This implies that, during the Chinese stock market downturn, portfolio investors in Asian stock markets could enhance diversification benefits by including Chinese stocks in their portfolios [5]. Risk measurement is particularly important in the current financial market environment due to world uncertainties, environmental issues, and demographic issues.…”

Section: Risk Measurementmentioning

confidence: 99%

The Significance of Portfolio Management in Investment and Financial Decisions

Zhang

2024

AEMPS

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This article mainly focuses on the role and significance of portfolio management in investment finance decision-making, first of all, portfolio management is a combination of different assets according to all aspects of the data, choose the optimal combination and investment, mainly for the control of risk and rate of return, and investment finance decisions are often directly linked to the rate of return, and at the same time pay close attention to the minimization of risk, and portfolio management Can do to minimize the risk and maximize the return, finally, through the results of the study shows that the portfolio management of the two roles of risk and return for investment management has an irreplaceable, unique role, and portfolio management for the financial market, is conducive to the rational allocation of assets, the orderly operation of the financial market, to fully protect the rights and interests of investors, through the realization of the risk and return of the reasonable allocation to meet the financial market. Reasonable allocation to meet the financial market and investors to face unexpected situations or the normal operation of the investment conditions. This paper looks at the future role and significance of portfolio management for the financial market.

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“…The evidence also suggested that the differences between the turbulent and calm periods do exist. Based on the VARasymmetric GARCH model, Yousaf et al (2020) observed stock return spillover from the US and China to the Asian stock markets during the US financial crisis and the Chinese stock market crash, and the volatility was transmitted from the US to the majority of the Asian stock markets during the Chinese stock market crash. Additionally, volatility was transmitted from China to the majority of the Asian stock markets during the US financial crisis.…”

Section: Review Of Extant Literaturementioning

confidence: 99%

Stock market integration and volatility spillovers: new evidence from Asia–Pacific and European markets

Guru

Yadav

2023

JRF

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PurposeThis work investigates the volatility spillovers across stock markets and the nature of such spillovers through different periods of crises and tranquility.Design/methodology/approachUsing daily stock return volatility data from June 2003 to June 2021, the generalized forecast error variance decomposition method (based on Diebold and Yilmaz, 2012 approach) is employed to measure the degree of volatility spillovers/connectedness among stock markets of 24 Asia–Pacific and 12 European Union (EU) economies.FindingsThe empirical results from static analysis suggested that about 28.1% (63.7%) of forecast error variance in return volatility for Asia–Pacific (EU) markets is due to spillovers. The evidence from dynamic analysis suggested that during mid of the global financial crisis, European debt crisis (EDC) and Covid-19, the gross volatility spillovers for Asia–Pacific (EU) was around 67% (80%), 65% (80%) and 73% (67%), respectively. The degree of net volatility transmission from Singapore (Denmark) to other Asia–Pacific (EU) markets was found to be highest.Practical implicationsThe findings have crucial implications for the investors and portfolio managers in assessment of risk and optimum allocation of assets and investment decisions.Originality/valueThis study adds to the literature on risk management by systematically examining the impact of global financial crises, EDC and Covid-19 on the market interactions by capturing the magnitude, duration and pattern of the shock-specific market volatilities for a large sample of Asian and European markets using recent and large data set.

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An Empirical Analysis of the Volatility Spillover Effect between World-Leading and the Asian Stock Markets: Implications for Portfolio Management

Cited by 16 publications

References 53 publications

Empirical Analysis in The Concept of Indian Financial Market Using Machine Learning

Empirical Analysis in The Concept of Indian Financial Market Using Machine Learning

The Significance of Portfolio Management in Investment and Financial Decisions

Stock market integration and volatility spillovers: new evidence from Asia–Pacific and European markets

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