Financial Crisis and Contagion Effects to Indian Stock Market: ‘DCC–GARCH’ Analysis

Chittedi, Krishna Reddy

doi:10.1177/0972150914553507

Cited by 32 publications

(26 citation statements)

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“…The results from this study contribute additional evidence to the study of co-movements among equity markets. Although previous studies on the US and Indian markets (Chittedi, 2015), and the US and Chinese markets (Hou & Li, 2016) found that co-movements exist, this study shows that co-movements exist among the US, UK, and Japan equity markets, but not for the ASEAN equity markets.…”

contrasting

confidence: 94%

Dynamic correlation analysis in the ASEAN equity markets during 2009–2018

Aumeboonsuke

2019

Investment Management and Financial Innovations

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This study examines the static and dynamic correlations in the ASEAN equity markets. The importance of this research appears from the fact that practitioners can get the benefit if their investments yield the same or higher returns given lower or the same risk in their portfolio. Firstly, this advantage comes from including the assets that decrease volatility of the portfolio. Hence, the correlation between the ASEAN markets should be examined. Secondly, co-movements in market realizations may increase global financial instability. Its existence is important for international investors, financial institutions, and policy makers. The study locates the relationship between ASEAN and its major trading partners, including Japanese, US, and UK markets, in order to find more rational results. This study utilizes alternative multivariate GARCH forms to provide useful information on the dynamic evolution and implications of return volatilities. The results show that the volatilities of all the equity markets under study are persistent over time. The estimates from VEC model indicate that the movements of the US and UK equity market returns have some degree of influence on several of the ASEAN equity markets. The results imply that, first, most of the developing ASEAN equity markets work by its own information with small relation to the developed world. Second, it is still convincing to state that investing in ASEAN equity markets should provide investors a better mean-variance portfolio. And, third, buy-and-hold strategy seems to be more beneficial than readjusting the ASEAN equities portfolio.

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contrasting

confidence: 94%

Dynamic correlation analysis in the ASEAN equity markets during 2009–2018

Aumeboonsuke

2019

Investment Management and Financial Innovations

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“…However, in this research, we have a combination of the Asian emerging markets with china which could bring a result of great interest for the investors. Further, this study brings insight into the policymakers in order to increase the integration of the Asian markets with China while avoiding the risk of contagion [33]. On the financial side, we uncover that the strength of co-movement among Asian emerging markets may impact the multi-country portfolio's value at risk (VaR) levels.…”

Section: Plos Onementioning

confidence: 85%

Stock market comovements among Asian emerging economies: A wavelet-based approach

et al. 2020

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Stock market, is one of the most important financial market which has a close relationship with a country's economy, due to which it is often called the barometer of the economy. Over the past 25 years, the stock markets have been affected by different global economic shocks. Various researchers have analyzed different aspects of these effects one by one, however, this study is an assessment of stock market interrelationship of emeriging Asian economies which include most of the East Asian, and Southeast Asian emerging economies with special focus on China for past decades during which different crisis occurred. We used Morgan Stanley capital international (MSCI) daily indices data for each stock market and compared Chinese stock market with the stock markets of India, Pakistan, Malaysia, Singapore, and Indonesia. We analyzed the data through the individual wavelet power spectrum, cross-wavelet transform and wavelet coherence, to determine the correlation and volatility among the selected stock markets. These model have the power to analyze co-movements among these countries with respect to both frequency and time spaces. Our findings show that there are co-movement patterns of higher frequencies during the crises periods of 1997, 2008 and 2015. The dependency strength among the considered economies is noted to increase in the crisis periods, which implies increased short-and long-term benefits for the investors. From a financial point of view, it has been determined that the co-movement strength among the emerging economies of Asia may have an effect on the VaR (Value at Risk) levels of a multi-country portfolio. Furthermore, the stock market of China shows a high correlation with the other six Asian stock emerging markets in both high and low-frequency spectrums. The association of the south and east Asian stock market with Chinese stock markets show the interconnection of these economies with the economy of China since past two decades. These findings are useful for investors, portfolio managers and the policymaker around the globe.

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“…Baumöhl and Lyócsa (2014) used 32 worldwide emerging and frontier equity markets to analyse the volatility and dynamic correlation through the DCC-GARCH model and found a positive significant relationship between volatility and DCC, which indicates the decreasing diversification benefits during a high volatility period. Chittedi (2015) found a significant increment average time-varying correlation during the crisis period and reported the evidence of contagion effects from the USA to India during the crisis period. Jin and An (2016) employed AR(1)-GARCH (1, 1)-BEKK, DCC-GARCH and volatility impulse response function (VIRF) during the GFC on the BRICS markets and suggested that the impact of the US shock affected the market volatility after the crisis and the effect of the shock depended upon the individual integration of equity markets with the international economy.…”

Section: Review Of Literaturementioning

confidence: 91%

Time-varying Correlation Between Indian Equity Market and Selected Asian and US Stock Markets

Seth

Panda

2019

Global Business Review

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The purpose of this article is to examine the dynamic relationship between the Indian stock market and the selected Asian and US stock markets during the post-crisis period. This article uses univariate GARCH (Generalized Autoregressive Conditional Heteroskedasticity) family models on daily observations from March 2009 to December 2015 to evaluate the volatility persistence and leverage effect on Asian developed (Japan, Singapore and Hong Kong) and emerging markets (India, China, Indonesia, Korea, Malaysia and Taiwan) along with the US stock market. AR (Autoregressive) ( 1 )-GARCH (1, 1)-ADCC (Asymmetric DCC) model is employed to find out the dynamic correlation between the Indian equity market and other selected stock markets. The results of the present study give evidence of the leverage effect in conditional volatility but not in conditional correlation, which implies that the rise in conditional volatility is more due to negative shocks than positive ones. On the other hand, dynamic conditional correlation (DCC) does not support any asymmetric effect for the time-varying correlation. The result of average conditional correlation shows the existence of higher diversification opportunities for Indian investors in Malaysian, Chinese and Japanese stock markets (having lower conditional correlation) than in Hong Kong, Indonesian and South Korean markets. The DCC fluctuates more in the cases of India with Singapore, Hong Kong and Indonesia over the sample period. It indicates that the stability of DCC is less reliable and the coefficient of correlation may not be used as a guide for portfolio decisions. But the cases of India with the USA, Japan and China show more stable conditional correlation coefficients. This article investigates the volatility persistence and time-varying relationship among Asian stock markets during the recent period, 2009–2015. The results of this article may be helpful in international portfolio planning and will contribute towards the literature on asymmetric time-varying relationships among Asian markets.

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Financial Crisis and Contagion Effects to Indian Stock Market: ‘DCC–GARCH’ Analysis

Cited by 32 publications

References 32 publications

Dynamic correlation analysis in the ASEAN equity markets during 2009–2018

Dynamic correlation analysis in the ASEAN equity markets during 2009–2018

Stock market comovements among Asian emerging economies: A wavelet-based approach

Time-varying Correlation Between Indian Equity Market and Selected Asian and US Stock Markets

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