2019
DOI: 10.14254/2071-8330.2019/12-1/9
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Volatility spillovers under difference in the degree of market integration: Evidence from the selected Asian and Eastern European stock markets

Abstract: This research aims to investigate volatility transmitted from the world market to ten Asian and Eastern European stock markets and from major stock market in the region to the rest of stock markets by considering their degree of integrations. To assess this, we apply GARCH(p,q) model and involve dynamic conditional correlation (DCC) model to generate the dynamic degree of integration. The monthly market indices data over the period from May 2002 to March 2018 are taken from 11 markets --5 Asian ones (China, In… Show more

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Cited by 16 publications
(13 citation statements)
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“…From equities markets, it shows that Vietnam had the highest average daily returns compared with other emerging markets in Southeast Asia. The Malaysian capital market had the lowest risk compared with other markets and this result is in line with Muharam et al (2019). Table 1 also shows that the differences between domestic returns and original returns of cryptocurrencies based on their original prices (US$) were not significant.…”
Section: Resultssupporting
confidence: 68%
“…From equities markets, it shows that Vietnam had the highest average daily returns compared with other emerging markets in Southeast Asia. The Malaysian capital market had the lowest risk compared with other markets and this result is in line with Muharam et al (2019). Table 1 also shows that the differences between domestic returns and original returns of cryptocurrencies based on their original prices (US$) were not significant.…”
Section: Resultssupporting
confidence: 68%
“…In recent contributions, Loganathan et al (2018) have employed the Threshold Error Correction (TECM) cointegration, and the nonlinear causality estimates to capture the nexus between real energy prices and financial stability for the GCC countries' tourism demand. Muharam et al (2019) investigate in a GARCH(p,q)-DCC framework volatility spillovers from the world and the major regional markets to domestic stock markets that are conditional on the degree of integrations. Bilan et al (2018) describe the impact of oil price on the Ruble-US dollar exchange rate.…”
Section: Literature Reviewmentioning
confidence: 99%
“…In the era of globalization where economic boundaries between countries have increasingly blurred, economic activity is not only limited to the domestic environment but has been cross country. The current globalization also has quite broad implications on the flow of funding and investment as well as macroeconomic development (Muharam, Mawardi, Arfinto, & Najmudin, 2019;Robiyanto, 2018). Capital market liberalization and rapid developments in the telecommunications sector have significantly increased the ability to disseminate information between capital markets.…”
Section: Background Of the Studymentioning
confidence: 99%
“…An increasingly integrated capital market makes it easy for international investors to diversify internationally. However, the more integrated the capital markets, the higher the correlation of capital markets of one country with other countries (Muharam et al, 2019;Oprea & Stoica, 2018;Seth & Sharma, 2015). Several existing types of research mostly examine the relationship of capital markets in developed countries.…”
Section: Capital Market Integrationmentioning
confidence: 99%