Modelling volatility spillovers from the US equity market to ASEAN stock markets

Vo, Xuan Vinh; Tran, Thi Tuan Anh

doi:10.1016/j.pacfin.2019.101246

Cited by 53 publications

(42 citation statements)

References 13 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Additionally, as China is the largest trade partner of Australia, we provide evidence from the domain of financial contagion. Thus, we were able to observe the reaction of various sectors unlike the current literature studies (Vo and Tran 2020;Hung 2020;Bouri et al 2020;Belaid et al 2021) that investigated the overall market interactions and not the sectors. Similarly, instead of examining structural breaks in aggregate equity market, we explored this exposure with a sectorial framework.…”

Section: Introductionmentioning

confidence: 91%

The Australian Stock Market’s Reaction to the First Wave of the COVID-19 Pandemic and Black Summer Bushfires: A Sectoral Analysis

Günay

Bakry

Al-Mohamad

2021

JRFM

View full text Add to dashboard Cite

In this study, we investigated the impact of the first wave of the COVID-19 pandemic on various sectors of the Australian stock market. Market capitalization and equally weighted indices were formed for eleven Australian sectors to examine the influence of the pandemic on them. First, we examined the financial contagion between the Chinese stock market and Australian sector indices through the dynamic conditional correlation fractionally integrated generalized autoregressive conditional heteroskedasticity (DCC-FIGARCH) model. We found high time-varying correlations between the Chinese stock market and most of the Australian sector indices, with the financial, health care, information technology, and utility sectors displaying a decrease in co-movements during the pandemic. The Modified Iterative Cumulative Sum of Squares (MICSS) analysis results indicated the presence of structural breaks in the volatilities of most of the sector indices around the end of February 2020, but consumer staples, industry, information technology and real estate indices did not display any break. Markov regime-switching regression analysis depicted that the pandemic has mainly affected three sectors: consumer staples, industry, and real estate. When we considered the firm size, we found that smaller companies in the energy sector exhibited gradual deterioration, whereas small firms in the consumer staples sector experienced the largest positive impact from the pandemic.

show abstract

Section: Introductionmentioning

confidence: 91%

The Australian Stock Market’s Reaction to the First Wave of the COVID-19 Pandemic and Black Summer Bushfires: A Sectoral Analysis

Günay

Bakry

Al-Mohamad

2021

JRFM

View full text Add to dashboard Cite

show abstract

“…In a related study on conditional correlations and volatility spillovers across Central and Eastern Europe (CEE) countries, Hung (2019) showed evidence of significant correlations between the CEE markets, and that own‐volatility spillovers are generally lower than cross‐volatility spillovers for all markets. Vo and Tran (2020) reported a significant volatility spillover from the United States to ASEAN equity markets including Vietnam, Singapore, Malaysia, Thailand, Indonesia, and the Philippines.…”

Section: Literature Reviewmentioning

confidence: 99%

Interdependence among West African stock markets: A dimension of regional financial integration

Emenike

2021

African Development Review

View full text Add to dashboard Cite

Understanding the nature of interdependence between international stock markets is vital for portfolio diversification, risk management and market regulation. This paper examines the nature of interdependence among West African stock markets using correlation analysis, the Granger causality test and a multivariate BEKK‐GARCH (1,1) model. The results show evidence of a weak relationship among West African stock markets. The results also show absence of causal dependence between the Côte d'Ivoire BRVM (Bourse Régionale des Valeurs Mobilières), and the Ghana stock market, but evince feedback relationship between the Côte d'Ivoire BRVM and the Nigeria stock market as well as between the Ghana and Nigeria stock markets. The results further reveal no evidence of volatility spillover between the Côte d'Ivoire BRVM and the Ghana stock market, but show evidence of unidirectional volatility spillover from the Nigeria stock market to the Côte d'Ivoire BRVM as well as bidirectional volatility spillover between the Nigerian and Ghanaian stock markets. Overall, the findings reveal existence of weak interdependence among West African stock markets, and that West African financial markets are interdependent through the Nigerian market. These findings are relevant to stock market stabilisation and investment policy in West Africa.

show abstract

“…They reported significant volatility spillovers from New York to London and Tokyo, from London to New York and Tokyo and from Tokyo to London and New York. Vo and Tran (2020) analysed volatility spillovers from the US equity market to stock markets of ASEAN economies. They employed the augmented EGARCH model with the ICSS algorithm, in order to control the excessive volatility breaks over an extended period.…”

Section: Literature Review and Related Studiesmentioning

confidence: 99%

Nonlinear bidirectional multiscale volatility transmission effect between stocks and exchange rate markets in the selected African countries

Živkov

Kuzman

Panić

2020

Economic Research-Ekonomska Istraživanja

View full text Add to dashboard Cite

Modelling volatility spillovers from the US equity market to ASEAN stock markets

Cited by 53 publications

References 13 publications

The Australian Stock Market’s Reaction to the First Wave of the COVID-19 Pandemic and Black Summer Bushfires: A Sectoral Analysis

The Australian Stock Market’s Reaction to the First Wave of the COVID-19 Pandemic and Black Summer Bushfires: A Sectoral Analysis

Interdependence among West African stock markets: A dimension of regional financial integration

Nonlinear bidirectional multiscale volatility transmission effect between stocks and exchange rate markets in the selected African countries

Contact Info

Product

Resources

About