Volatility Spillovers Among The Us And Asian Stock Markets PDF Download

Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Volatility Spillovers Among The Us And Asian Stock Markets PDF full book. Access full book title Volatility Spillovers Among The Us And Asian Stock 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:
GET BOOK

Download Volatility Spillovers Among the U.S. and Asian Stock Markets Book in PDF, ePub and Kindle

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.

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:
GET BOOK

Download Return and Volatility Spillovers Among Asian Stock Markets Book in PDF, ePub and Kindle

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.

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:
GET BOOK

Download Volatility Spillover Among Stock Markets in Six Asian Countries and the United States Book in PDF, ePub and Kindle

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.

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:
GET BOOK

Download Price and Volatility Spillovers Across North American, European and Asian Stock Markets Book in PDF, ePub and Kindle

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.

Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR: Evidence from Stock Markets

Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR: Evidence from Stock Markets
Author: Tao Sun
Publisher: INTERNATIONAL MONETARY FUND
Total Pages: 42
Release: 2009-08-01
Genre:
ISBN: 9781451873139
GET BOOK

Download Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR: Evidence from Stock Markets Book in PDF, ePub and Kindle

This paper focuses on evidence from stock markets as it investigates the spillovers from the United States to mainland China and Hong Kong SAR during the subprime crisis. Using both univariate and multivariate GARCH models, this paper finds that China's stock market is not immune to the financial crisis, as evidenced by the price and volatility spillovers from the United States. In addition, HK's equity returns have exhibited more significant price and volatility spillovers from the United States than China's returns, and past volatility shocks in the United States have a more persistent effect on future volatility in HK than in China, reflecting HK's role as an international financial center. Moreover, the impact of the volatility from the United States on China's stock markets has been more persistent than that from HK, due mainly to the United States as the origin of the subprime crisis. Finally, as expected, the conditional correlation between China and HK has outweighed their conditional correlations with the United States, echoing increasing financial integration between China and HK.

Mean and Volatility Spillover Effects in the U.S. and Pacific-Basin Stock Markets

Mean and Volatility Spillover Effects in the U.S. and Pacific-Basin Stock Markets
Author: Y. Angela Liu
Publisher:
Total Pages: 16
Release: 2016
Genre:
ISBN:
GET BOOK

Download Mean and Volatility Spillover Effects in the U.S. and Pacific-Basin Stock Markets Book in PDF, ePub and Kindle

This paper investigates the mean return and volatility spillover effects from the U.S. and Japan to four Asian stock markets, including Hong Kong, Singapore, Taiwan, and Thailand. The empirical results from examining the data for the period of 1984 to 1991 suggest that the U.S. market is more influential than the Japanese market in transmitting returns and volatilities to the four Asian markets. In addition, the observed spillover effects are unstable over time in the sense that the spillovers increase substantially after the October 1987 stock market crash. Furthermore, the evidence indicates that while the cross-country stock investing hypothesis cannot by itself explain the international transmissions of return and volatility, the market contagion also plays an important role in the transmission mechanism.

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:
GET BOOK

Download Return and Volatility Spillover Across Equity Markets Between China and Southeast Asian Countries Book in PDF, ePub and Kindle

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.

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:
GET BOOK

Download Return and Volatility Spillovers Among the East Asian Equity Markets Book in PDF, ePub and Kindle

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

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
Author: John Beirne
Publisher:
Total Pages: 42
Release: 2009
Genre: Stock exchanges
ISBN:
GET BOOK

Download Volatility Spillovers and Contagion from Mature to Emerging Stock Markets Book in PDF, ePub and Kindle

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets.