Return and Volatility Spillovers Among Asian Stock Markets

Joshi, Prashant

doi:10.1177/2158244011413474

Cited by 56 publications

(45 citation statements)

References 25 publications

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“…The studies on developing equity markets include studies, for example, Mukherjee and Mishra (2010), Joshi (2011), Choo et al (2011, and Sakthivel and Kamaiah (2011). Mukherjee and Mishra (2010) empirically examined volatility transmission of equity market of India with 12 selected equity markets (China, Malaysia, Sri Lanka, Thailand, Indonesia, Pakistan, Malaysia, Korea, Hong Kong, Sri Lanka, Taiwan, and Japan).…”

Section: Review Of Literaturementioning

confidence: 99%

“…By applying the GARCH model, they found evidence of bidirectional return spillover between India and all selected markets except Sri Lanka. Joshi (2011) empirically examined the spillover of return and volatility between Asian countries (Korea, China, India, Indonesia, Hong Kong, and Japan). By applying the GARCH BEKK model, he found bidirectional return spillover in the following markets: Indonesia and China, Korea and Japan, India and Hong Kong, and Hong Kong and Korea.…”

Section: Review Of Literaturementioning

confidence: 99%

“…The various studies carried out for developed equity markets include studies like Hu et al (1997), Chou et al (1999), Ng (2000), Baele (2002), Wagner and Szimayer (2004), Harris and Pisedtasalasai (2006), Diebold and Yilmaz (2009), and Xiao and Dhesi (2010). The studies on developing equity markets include Mukherjee and Mishra (2010), Joshi (2011), Choo et al (2011), and Sakthivel and Kamaiah (2011). There are also studies that examined emerging equity market integrations, see for example, Wang et al (2005), Worthington and Higgs (2004), Li and Majerowska (2008), and Beirne et al (2009).…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Examining volatility spillover between Asian countries’ stock markets

Jebran

Iqbal

2016

China Financ. and Econ. Rev.

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Background: This study examined the volatility spillover effects between the stock markets of Asian countries, i.e., Pakistan, India, Sri Lanka, China, Japan, and Hong Kong. Methods: The daily data was considered from the period 4 January 1999 to 1 January 2014, consisting five trading days from Monday to Friday. The volatility spillover between stock markets was captured by using the generalized autoregressive conditional heteroskedasticity (GARCH) model. Results: The empirical analyses show evidence of significant bidirectional spillover of return and volatility between China and Japan. The results also show significant bidirectional volatility transmission between the equity markets of the following countries: Hong Kong and Sri Lanka, China and Sri Lanka. The significant unidirectional transmissions of stock market volatility are found to be flowing from India to China, Sri Lanka to Japan, Pakistan to Sri Lanka, and Hong Kong to India and Japan. Conclusions: These results are important for economic policy makers in order to safeguard the financial sector from international financial shocks. The investors can use this information for making efficient portfolio which will reduce their risk and enhance their returns.

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Section: Review Of Literaturementioning

confidence: 99%

Section: Review Of Literaturementioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Examining volatility spillover between Asian countries’ stock markets

Jebran

Iqbal

2016

China Financ. and Econ. Rev.

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“…Previous studies reported different results but a number of studies reveal co-movements of international stock markets. For instance, [13] detected bi-directional in returns, shocks and volatilities among Asian countries. [7] detected two-way directional volatility spillovers between U. S. and Indian stock market through trade and investment.…”

Section: Literature Reviewmentioning

confidence: 99%

Modelling the Dynamic Relationship between U. S.’ and Malaysia’s Stock Market Volatility

Lim¹,

Sek²

2014

IJTEF

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Abstract-A number of previous studies have been devoted to investigate properties of volatility in emerging markets. Rather than focusing on the stock market volatility alone, we examine the dynamic inter-relationship of stock market volatility between two markets, namely the U. S. and Malaysia. The GARCH model is used to generate the volatility series for these two markets. Later, the system equation of VAR model is used to investigate the inter relationship between the volatility of stock market of U. S. and Malaysia using the volatility series generated from GARCH model. The results are compared between three sub-periods, i.e. pre-crisis, crisis and post-crisis periods. Our results reveal very low or insignificance impact of stock market volatility from Malaysia on the stock market volatility in U. S. On the other hand, stock market volatility of U. S. has relatively low impact on the stock market volatility in Malaysia in the pre-and post-crisis periods. The impact is larger during the crisis period. Exchange rate and oil price shocks have very low explanatory impact on the volatility of stock markets in both markets.Index Terms-Exchange rate, GARCH model, inflation targeting, stock market volatility.

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“…Reference [19] used BEKK framework and observed volatility spillover among almost all Asian stock markets. Reference [29] detected significant volatility spillover across all Gulf stock markets using BEKK GARCH.…”

Section: Literature Reviewmentioning

confidence: 99%

Modelling Co-movement of Different Sectors in Dhaka Stock Exchange (DSE) Using Asymmetric BVAR-GARCH Models

Chowdhury¹,

Arefin²

2017

JFE

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This paper tries to investigate the financial shock transmission dynamics using daily return data under different sectors traded in Dhaka Stock Exchange (DSE). Bayesian VAR model was used as conditional mean in GJR-GARCH, scalar-diagonal VECH and BEKK GARCH models to test return and volatility spillover effects. Lagged squared residuals and lagged conditional variances were used as variance regressors in conditional variance of GJR-GARCH to test the spillover effects. Finding reveals a highly significant memory effect on all sector returns except one. Asymmetric versions of GARCH, VECH and BEKK identified significant effect of news about volatility, past memory and differential effect of bad news on conditional volatility of almost all series. GJR-GARCH results identified pharmaceutical sector spillover free yet all other pairs were found to be unidirectional or in some cases bidirectional. Co-volatility among almost all sectors is also observed from VECH and BEKK output.

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Return and Volatility Spillovers Among Asian Stock Markets

Cited by 56 publications

References 25 publications

Examining volatility spillover between Asian countries’ stock markets

Examining volatility spillover between Asian countries’ stock markets

Modelling the Dynamic Relationship between U. S.’ and Malaysia’s Stock Market Volatility

Modelling Co-movement of Different Sectors in Dhaka Stock Exchange (DSE) Using Asymmetric BVAR-GARCH Models

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