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Return and Volatility Spillovers Among Asian Stock Markets

Return and Volatility Spillovers Among Asian Stock Markets
Author: Prashant Mahesh Joshi
Publisher:
Total Pages: 8
Release: 2018
Genre:
ISBN:
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The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China, Jakarta, and Korea using a six-variable asymmetric generalized autoregressive conditional heteroscedasticity-Baba, Engle, Kraft, and Kroner (GARCH-BEKK) model during February 2, 2007, to February 29, 2010. The author finds evidence of bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low indicating weak integration of Asian stock markets. The study finds that own volatility spillover is higher than cross-market spillover. The overall persistence of stock market volatility is highest for Japan (0.931) and lowest for China (0.824). The implication of weak integration is that investors will benefit from reduction of diversifiable risk.

Price and Volatility Spillovers Across North American, European and Asian Stock Markets

Price and Volatility Spillovers Across North American, European and Asian Stock Markets
Author: Priyanka Singh
Publisher:
Total Pages: 43
Release: 2010
Genre:
ISBN:
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This paper investigates interdependence of fifteen world indices including an Indian market index in terms of return and volatility spillover effect. These markets are that of Canada, China, France, Germany, Hong-Kong, Indonesia, Japan, Korea, Malaysia, Pakistan, Singapore, Taiwan, United Kingdom and United States. Vector autoregressive model (VAR 15) is used to estimate the conditional return spillover among these indices in which all fifteen indices are considered together. The effect of same day return in explaining the return spillover is also modeled using univariate models. Volatility spillover is estimated through AR-GARCH in which residuals from the index return is used as explanatory variable in GARCH equation. Return and volatility spillover between Indian and other markets are modeled through bivariate VAR and multivariate GARCH (BEKK) model respectively. It is found that there is greater regional influence among Asian markets in return and volatility than with European and US. Japanese market, which is first to open, is affected by US and European markets only and affects most of the Asian Markets. Also, high degree of correlation among European indices namely FTSE, CAC and DAX is observed. US market is influenced by both Asian and European markets. Specific to Indian context, it is found that Indian market is not cointegrated with rest of the world except Indonesia. However, strong short run interdependence is found between Indian markets and most of the other markets. Indian and other markets like US, Japan, Korea, and Canada positively affect each others' conditional returns significantly. Indian market also has significant effect on Malaysia, Pakistan, and Singapore return.

Return and Volatility Spillovers Among the East Asian Equity Markets

Return and Volatility Spillovers Among the East Asian Equity Markets
Author: Kamil Yılmaz
Publisher:
Total Pages:
Release: 2009
Genre:
ISBN:
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This article examines the extent of contagion and interdependence across the East Asian equity markets since early 1990s and compares the ongoing crisis with earlier episodes. Using the forecast error variance decomposition from a vector autoregression, we derive return and volatility spillover indices over the rolling sub-sample windows. We show that there is substantial difference between the behavior of the East Asian return and volatility spillover indices over time. While the return spillover index reveals increased integration among the East Asian equity markets, the volatility spillover index experiences significant bursts during major market crises, including the East Asian crisis. The fact that both return and volatility spillover indices reached their respective peaks during the current global financial crisis attests to the severity of the current episode. -- Stock returns ; Volatility ; Spillovers ; Vector autoregression ; Variance decomposition

Return and Volatility Spillover Across Equity Markets Between China and Southeast Asian Countries

Return and Volatility Spillover Across Equity Markets Between China and Southeast Asian Countries
Author: Hung Ngo
Publisher:
Total Pages: 16
Release: 2019
Genre:
ISBN:
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Purpose - This paper aims to study the daily returns and volatility spillover effects in common stock prices between China and four countries in Southeast Asia (Vietnam, Thailand, Singapore and Malaysia).Design/methodology/approach - The analysis uses a vector autoregression with a bivariate GARCHBEKK model to capture return linkage and volatility transmission spanning the period including the pre- and post-2008 Global Financial Crisis.Findings - The main empirical result is that the volatility of the Chinese market has had a significant impact on the other markets in the data sample. For the stock return, linkage between China and other markets seems to be remarkable during and after the Global Financial Crisis. Notably, the findings also indicate that the stock markets are more substantially integrated into the crisis.Practical implications - The results have considerable implications for portfolio managers and institutional investors in the evaluation of investment and asset allocation decisions. The market participants should pay more attention to assess the worth of across linkages among the markets and their volatility transmissions. Additionally, international portfolio managers and hedgers may be better able to understand how the volatility linkage between stock markets interrelated overtime; this situation might provide them benefit in forecasting the behavior of this market by capturing the other market information.Originality/value - This paper would complement the emerging body of existing literature by examining how China stock market impacts on their neighboring countries including Vietnam, Thailand, Singapore and Malaysia. Furthermore, this is the first investigation capturing return linkage and volatility spill over between China market and the four Southeast Asian markets by using bivariate VAR-GARCH-BEKK model. The authors believe that the results of this research's empirical analysis would amplify the systematic understanding of spillover activities between China stock market and other stock markets.

Stock Markets in Islamic Countries

Stock Markets in Islamic Countries
Author: Shaista Arshad
Publisher: Springer
Total Pages: 136
Release: 2016-12-22
Genre: Business & Economics
ISBN: 3319478036
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This book explores the volatility, efficiency and integration of stock markets in Islamic countries. It presents recent trends, growth and performance, before moving on to explore how patterns change during different business cycles for short-term and long-term investors, and ranks the efficiency of the various markets. It addresses how the level of market integration has been affected during different economic periods, and concludes by summarising the performance of the stock markets, suggesting potential future directions for these markets.

Volatility Spillovers Among the U.S. and Asian Stock Markets

Volatility Spillovers Among the U.S. and Asian Stock Markets
Author: Li Yang
Publisher:
Total Pages: 36
Release: 2013
Genre:
ISBN:
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This paper examines the changing nature of volatility spillovers among the U.S. and eight East Asian stock markets between two financial crises: the Asian currency crisis and the U.S. subprime credit crisis. Our empirical results suggest that volatility is not always spilled over from directly affected markets to surrounding markets in crisis periods. The East Asian markets who directly suffered from the Asian currency crisis are the ones to which volatility is spilled over from other markets during the Asian currency crisis period, whereas unidirectional volatility spillovers from the U.S. market to other markets are observed during both crisis periods. This difference can be explained by a predetermined hierarchy in which volatility spillovers tend to start from the U.S. market regardless of the geographical origin of the crisis. Furthermore, our results reveal that the markets in three major Asian financial hubs, i.e., Japan, Hong Kong and Singapore, are the markets to which volatility is spilled over unidirectionally from several other countries during the subprime credit crisis period, whereas it is not true during the Asian currency crisis period. We attribute this difference to crisis-specific (currency or credit crisis), market-specific (credit derivatives market participation and foreign currency reserves), and time-specific (more integrated global market) factor.

Volatility Spillover Among Stock Markets in Six Asian Countries and the United States

Volatility Spillover Among Stock Markets in Six Asian Countries and the United States
Author: Sang Jin Lee
Publisher:
Total Pages: 22
Release: 2009
Genre:
ISBN:
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This article examines the volatility spillover effects among six Asian country stock markets and the United States. The six Asian countries are India, Hong Kong, South Korea, Japan, Singapore, and Taiwan. This article also investigates whether the volatility spillover effect increased after the 1997 Asian financial crisis. There are statistically significant volatility spillover effects within the stock markets of these countries and that effect dramatically increased after the 1997 Asian financial crisis. Especially, the regionally close five countries Hong Kong, South Korea, Japan, Singapore, and Taiwan experienced more links among them.

Information Leadership in the Advanced Asia-Pacific Stock Markets

Information Leadership in the Advanced Asia-Pacific Stock Markets
Author: Suk-Joong Kim
Publisher:
Total Pages: 33
Release: 2005
Genre:
ISBN:
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This paper investigates the nature of the stock market linkages in the advanced Asia-Pacific stock markets of Australia, Hong Kong, Japan and Singapore with the U.S and the information leadership of the U.S. and Japan in the region since the early 1990s. It has been found that both the contemporaneous return and volatility linkages were significant and tended to be more intense after the 1997 Asian crisis period. However, the investigation of the dynamic information spillover effects in terms of returns, volatility and trading volume from the U.S. and Japan did not produce such time-varying influence. In general, significant dynamic information spillover effects from the U.S. were found in all the Asia-Pacific markets, but the Japanese information flows were relatively weak and the effects were country specific.

Stock Market Volatility

Stock Market Volatility
Author: Greg N. Gregoriou
Publisher: CRC Press
Total Pages: 654
Release: 2009-04-08
Genre: Business & Economics
ISBN: 1420099558
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Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel

MENA Financial Markets

MENA Financial Markets
Author:
Publisher:
Total Pages: 0
Release: 2007
Genre: Corporations
ISBN:
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