Stock market integration and volatility spillover: India and its major Asian counterparts

Mukherjee, Kedar Nath; Mishra, Ram Kumar

doi:10.1016/j.ribaf.2009.12.004

Cited by 108 publications

(62 citation statements)

References 43 publications

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“…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). Their observations consist of intraday stock price from July 1998 to April 2008.…”

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%

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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: Introductionmentioning

confidence: 99%

Examining volatility spillover between Asian countries’ stock markets

Jebran

Iqbal

2016

China Financ. and Econ. Rev.

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“…Research studies on exploring the Co-integration and linkages of stock exchange have been done by many researchers such as research conducted on Hungarian and Romanian by Birau and Antonescu in South Asian equity markets [32], in India and its major Asian counterparts by Mukherjee and Mishra [33], long run relationship in Karachi Stock Exchange by Khalid and Hussain [34], emerging equity markets are integrated [35] integration of emerging Asian economics by Narayan and Islam and stock market of GCC nation [36]. Many econometric techniques have been used by the researcher to found the linkages of stock markets; Correlation analysis, Return analysis, Descriptive analysis, Unit Root Analysis, Johnson Co-integration, Co-integration, Multivariate Co-integration, Granger Causality, Bidirectional Causality, Unidirectional Causality and Variance Decomposition Analysis are used to compute the relationship [32,35,[37][38][39][40][41].…”

Section: Literature Reviewmentioning

confidence: 99%

Dynamic Linkages among Selected South Asian Countries’Stock Markets

Maher¹,

Asif²,

Sn³

2017

J Bus Fin Aff

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“…But after the Asian crisis, more studies are focused on emerging Asian markets. Among them are [11] and [12]. Previous studies reported different results but a number of studies reveal co-movements of international stock markets.…”

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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Stock market integration and volatility spillover: India and its major Asian counterparts

Cited by 108 publications

References 43 publications

Examining volatility spillover between Asian countries’ stock markets

Examining volatility spillover between Asian countries’ stock markets

Dynamic Linkages among Selected South Asian Countries’Stock Markets

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

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