The transmission of international stock market volatilities

Budd, Bruce Q.

doi:10.1007/s12197-017-9391-0

Cited by 9 publications

(5 citation statements)

References 36 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Budd [32] executes a study to examine the volatility transmission and cluster effects between the US and Asia Pacific equity markets by applying GARCH and DCC-GARCH. Study findings enlighten the existence of dynamism in the equity market, especially during the financial crisis.…”

Section: Literature Reviewmentioning

confidence: 99%

Stock Market Volatility Transmission and Interlinkage: Evidence from BRICS

Qamruzzaman¹,

Kler²,

Theivanayaki³

et al. 2021

ujaf

View full text Add to dashboard Cite

No isolated financial markets are available due to global financial integration through trade liberation and FDI presence. Therefore, financial markets are subject to response to home economy events and pair economy movements. The study's motivation is to investigate the volatility transmission and interlinkage between financial markets in BRICS nations from January 01, 2001 to December 31, 2019. The study applies unit root tests, the test of cointegration, ARCH-GARCH effects, and the Non-granger causality test to expose interlinkages. Results of unit root tests expose variables are integrated in mixed order, i.e., few variables are stationary at a level I (0), and few variables are after first difference I (0). The cointegration test reveals the long-run association available in the empirical model, implying that the long-run BRICS stock markets act in the same direction. Results of ARCH-GARCH (1.1) disclose the presence of volatility persistence in the financial markets. Furthermore, the directional causality under the error correction term discloses that the feedback hypothesis explains the causality among financial markets in BRICS nations in the long run. On the other hand, a similar conclusion also derives from the Non-granger causality test.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

Stock Market Volatility Transmission and Interlinkage: Evidence from BRICS

Qamruzzaman¹,

Kler²,

Theivanayaki³

et al. 2021

ujaf

View full text Add to dashboard Cite

show abstract

“…A.1. Asia Sriananthakumar and Narayan (2015), Lean and Teng (2013), Narayan et al (2014), Qian andDiaz (2017), andBudd (2018) are among those who have study stock market integration in the Asian region using the DCC family of models. Sriananthakumar and Narayan (2015) investigate short-term stock market integration with monthly indices for the period 1993 to 2013 between Sri Lanka and selected economies, including India, China, Malaysia, Pakistan, Singapore, and the United States (US).…”

Section: Literature Reviewmentioning

confidence: 99%

“…These authors find that, in the long term, every market paired with Malaysia showed a moderate level of integration, and that any instability in Malaysian market may be due to other factors, such as political or social conflict. Budd (2018) model the integration effects of four Asia-Pacific countries with the US stock market using a DCC-Exponential GARCH (EGARCH) model and found that there was a high degree of correlation between these markets during crisis periods. Joyo and Lefen (2019) examine the DCC-GARCH models of developed (US and UK) and emerging (Pakistan, China, Indonesia, and Malaysia) markets from 2005 to 2018 and show close integration between Pakistan's stock market and other markets during the GFC.…”

Section: Literature Reviewmentioning

confidence: 99%

Diversification Gains for a Home Biased Trader in the Emerging and Frontier Equity Markets

Narayan¹,

Srianathakumar²,

Maheshwari

et al. 2021

BEMP

View full text Add to dashboard Cite

We study the case of a home-biased equity trader based in Asia, Central and Eastern Europe, the Middle East and North Africa, or Latin America, who is looking at diversifying his/her investment risks internationally within his/her region and three other emerging/frontier regions. We focus on explaining the dynamic conditional correlations between equity markets from 3 January 2002 to 11 November 2016. Timevarying opportunities for diversification are found in several nations across regions. However, diversification opportunities outside a region are largely reserved for bad times, such as during the global financial crisis and the European sovereign debt crisis.

show abstract

“…The spillover effect among markets has been extensively studied in recent years. Some studies try to investigate the spillover effect across developed markets (Christopoulos et al, 2014;Budd, 2017;Thalassinos et al, 2015;Thalassinos and Politis 2011). Christopoulos et al (2014) will try to investigate the long-term spillover effect in the European markets represented by Portugal, Italy, Ireland, Greece and Spain.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Using the cointegration technique, they found that the Italian market is the most influential index compared to the others, while the Greek index influences the least the other indices. Budd (2017) is interested in examining the spillover effect between U.S. equity markets and Asia-Pacific countries represented by Japan, Australia, China and South Korea. Using Pearson correlation and multivariate GARCH model, they have revealed a relatively low positive correlation between all equity markets investigated and concluded that there is little evidence of integration, except between South Korea and Japan markets.…”

Section: Literature Reviewmentioning

confidence: 99%