Stock Returns and Asymmetric Volatility Spillover Dynamics Between Asian Emerging Markets

Habiba, Umm E.; Shen, Peilong; Hamid, Kashif; Shahzad, Farrukh

doi:10.1177/0972150919838433

Cited by 14 publications

(7 citation statements)

References 37 publications

(39 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Turning to volatility spillovers, the findings of EGARCH model indicate that asymmetric spillovers of volatility are significant in all sampled markets in all three periods. These results suggest that negative shocks generate more volatility than positive shocks; the results of the study are consistent with Li and Giles (2015), Habiba et al (2019). Moreover, the analysis show own market volatility spillovers in all sampled stock markets in pre-, during and post-crisis periods.…”

Section: Dynamics Of Return Spillovers (Pre- and Post-global Financial Crisis Periods)supporting

confidence: 85%

International stock markets Integration and dynamics of volatility spillover between the USA and South Asian markets: evidence from Global financial crisis

Habiba

Shen

Zhang

et al. 2020

JABS

Self Cite

View full text Add to dashboard Cite

Purpose The purpose of this paper is to investigate the cointegration and volatility spillover dynamics between the USA and South Asian stock markets, namely, India, Pakistan and Sri Lanka. The main objective of this study is to provide the knowledge about integration of financial market and volatility spillovers before, during and after global financial crisis to investors, fund managers and policy-makers. Design/methodology/approach The Johansen and Juselius cointegration test, Granger Causality test and bivaraite EGARCH model have been applied in this study to examine integration and volatility spillovers between selected stock markets. Findings The findings show that long-term integration between the USA market and South Asian emerging stock markets. It is found that USA stock market has causal relationship with emerging stock markets in short-term. The findings of EGARCH model reveal that asymmetric volatility spillover effects significant in all selected stock markets in pre, during and post-crisis periods. Furthermore, significant volatility spillover is found from stock markets of USA to all selected South Asian markets during and post-crisis periods. However, volatility spillovers from USA to India and Sri-Lanka markets are significant, while insignificant in case of Pakistani market in pre-crisis period. Overall, we find that returns and volatility spillover effects are higher in financial crisis period as compared to non-financial crisis period. Practical implications The findings of this paper have important implications for investors, portfolio managers and policy-makers. They can take potential benefits from international portfolio diversification by considering all these facts. The understanding and knowledge of across volatility transmission help them to maximize the gains from diversification and minimize the risk. Policy-makers can develop such strategies which protect the markets of these economies from future financial crisis. Originality/value Although in finance literature numerous studies have been conducted on integration between different stock markets, most of the studies investigated the integration and volatility spillovers between developed stock markets. However, many studies also analyzed the integration among emerging stock markets in literature review but it is hard to find studies in the context of South Asian stock markets on the effect of global financial crisis on stock markets. The main contribution of this study is to investigate the stock markets integration and volatility transmission between the USA and South Asia by considering the effect of recent 2007 US subprime financial crisis.

show abstract

Section: Dynamics Of Return Spillovers (Pre- and Post-global Financial Crisis Periods)supporting

confidence: 85%

International stock markets Integration and dynamics of volatility spillover between the USA and South Asian markets: evidence from Global financial crisis

Habiba

Shen

Zhang

et al. 2020

JABS

Self Cite

View full text Add to dashboard Cite

show abstract

“…Hung (2018) and Zabiulla (2015) used this model to examine the volatility spillover in foreign exchange markets. Habiba, Peilong, Hamid, and Shahzad (2019), Bal, Manglani, and Deo (2018) and Majumder and Nag (2018) used EGARCH model in their studies to capture the asymmetric volatility spillover between stock markets.…”

Section: Review Of Literaturementioning

confidence: 99%

Does Information Spillover and Leverage Effect Exist in World Gold Markets?

Immanuvel

Lazar

2020

Global Business Review

View full text Add to dashboard Cite

Financial markets are highly sensitive to the flow of information. The nature and arrival of information impact the price of gold. Gold, an international commodity, is traded across the world. Hence, the size and sign of information in any one country may be expected to affect the international gold price fixation. The objective of the study is to analyse the information spillover and the leverage effect transmitted from major gold consuming countries to the fixation of London Bullion Market Association (LBMA) AM fix and PM fix prices and how significantly the information of Indian market contributes to the price fixation. The multivariate exponential generalized autoregressive conditional heteroscedasticity (EGARCH) model proposed by Koutmos and Booth ( 1995 , Journal of International Money and Finance, 14(6), 747–762) is used to analyse the daily spot gold price data of major gold consuming countries like India, the USA, Europe and Japan. The results concluded that price and volatility of major gold consuming countries spill over to the LBMA AM fix and PM fix prices. LBMA AM fix and PM fix prices are sensitive to the new information and their price movements are significantly influenced by the information from India and the USA. The leverage effect shows that positive information causes more volatility in the LBMA fix prices than negative information. The study suggests that the investors, bankers, wholesalers and retail customers who depend on LBMA fix prices as a benchmark price can predict them by utilizing the information received from the Indian and US markets. They can specifically look for positive news than the negative news, as they have more impact on the spillover effect.

show abstract

“…Huo and Ahmed (2017) investigated the spillover effects generated due to recently introduced Shanghai-Hong Kong Stock Connect. They argue that after the introduction of new connects system, a weak and unstable co-integration relationship is found along with the increased level of conditional variances of both stock markets Habiba, Peilong, Hamid, and Shahzad (2019)also investigated the dynamics of volatility spillover among various Asian economies by employing an extended version of EGARCH.…”

Section: Literature Reviewmentioning

confidence: 99%

Structural Breaks and Volatility Spillover in South Asian Economies

Iqbal

Saeed

Shah

2020

SJOM

View full text Add to dashboard Cite

Purpose - This study examines the volatility spillovers in the presence of structural breaks with specific reference to South Asian Capital markets. The global financial crisis of 2007-2009 has compelled policymakers to realize that financial instability has the potential to threaten economic stability and growth; therefore, managing the financial crisis is inevitable. To manage the impact of financial crises, understanding the dynamics of volatility spillover across various markets is imperative. This study has investigated the possible emergence of structural breaks in risk patterns after global financial crises in south Asian markets. Methodology - Using the data from July 2002 to June 2016, employing the Exponential GARCH methodology. Findings - This study finds a significant volatility spillover after the financial crisis of 2007-09. Therefore, the existence of a structural break in the risk pattern of south Asian capital markets cannot be fully rejected. Policy Implications - This conclusion is of prime importance to policymakers in devising policy guidelines concerning financial crises.

show abstract

Stock Returns and Asymmetric Volatility Spillover Dynamics Between Asian Emerging Markets

Cited by 14 publications

References 37 publications

International stock markets Integration and dynamics of volatility spillover between the USA and South Asian markets: evidence from Global financial crisis

International stock markets Integration and dynamics of volatility spillover between the USA and South Asian markets: evidence from Global financial crisis

Does Information Spillover and Leverage Effect Exist in World Gold Markets?

Structural Breaks and Volatility Spillover in South Asian Economies

Contact Info

Product

Resources

About