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A Multivariate Investigation Of The Volatilities And Co Volatilities Of Equity Markets Between Australia And Three Major Asian Pacific Equity Markets
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Book Synopsis A Multivariate Investigation of the Volatilities and Co-Volatilities of Equity Markets Between Australia and Three Major Asian Pacific Equity Markets by : Bruce Q. Budd
Download or read book A Multivariate Investigation of the Volatilities and Co-Volatilities of Equity Markets Between Australia and Three Major Asian Pacific Equity Markets written by Bruce Q. Budd and published by . This book was released on 2014 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: This preliminary study employs VECH-Multivariate Generalized Conditional Heteroskedasticity (MGARCH) model to test the cluster volatility of asset returns transmission impact among four Asian-Pacific equity markets: Australia, India, Hong Kong and Japan. Daily asset returns of the stock exchange indices are used for the period 2004 to 2014. Evidence shows that past shocks arising from the India stock market display the strongest evidence of impact on its 'own' future market volatility compared to the shocks stemming from the other three stock markets. This paper reveals the presence of high and positive lagged cross-volatility persistence between all countries. Australia in particular, exposes evidence of strong volatility persistence from all of the three markets to Australia. The strongest cross-volatility shock coefficients between countries are between Australia and Japan. India and Japan is the weakest. These results further provide strong evidence that all exchanges are well-integrated markets with high and positive spillovers. Asset returns of each exchange are linked. The volatility of one market does lead the volatility of other markets in the Asian-Pacific region. Shocks on a market do increase the volatility on another market. Finally this paper concludes that as these markets become more integrated, so this can lead to reduced opportunities for future global portfolio risk diversification.
Book Synopsis An Examination of the Variation in Equity Market Returns and Volatility in the Asia Pacific Region by : Richard Heaney
Download or read book An Examination of the Variation in Equity Market Returns and Volatility in the Asia Pacific Region written by Richard Heaney and published by . This book was released on 1997 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Price Interdependence Among Equity Markets in the Asia-Pacific Region by : Eduardo Roca
Download or read book Price Interdependence Among Equity Markets in the Asia-Pacific Region written by Eduardo Roca and published by Routledge. This book was released on 2020-11-25 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title was first published in 2000: An investigation of the issue of financial markets interdependence or integration through the application of recently developed and powerful techniques in time series econometrics. The text provides coverage of theoretical analysis and applications in the context of the Asia-Pacific region.
Book Synopsis Price Interdependence Among Equity Markets in the Asia-Pacific Region by : Eduardo Roca
Download or read book Price Interdependence Among Equity Markets in the Asia-Pacific Region written by Eduardo Roca and published by Routledge. This book was released on 2020-11-26 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title was first published in 2000: An investigation of the issue of financial markets interdependence or integration through the application of recently developed and powerful techniques in time series econometrics. The text provides coverage of theoretical analysis and applications in the context of the Asia-Pacific region.
Book Synopsis Asia-Pacific Stock Market Connectedness: A Network Approach(APEC Study Series 19-01) by : Young Joon Park
Download or read book Asia-Pacific Stock Market Connectedness: A Network Approach(APEC Study Series 19-01) written by Young Joon Park and published by . This book was released on 2019-11 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Multivariate GARCH Analysis of Equity Returns and Volatility in Asian Equity Markets by : Andrew Charles Worthington
Download or read book A Multivariate GARCH Analysis of Equity Returns and Volatility in Asian Equity Markets written by Andrew Charles Worthington and published by . This book was released on 2001 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Transmission of Volatility Across Asia-Pacific Stock Markets by : Amarnath Mitra
Download or read book Transmission of Volatility Across Asia-Pacific Stock Markets written by Amarnath Mitra and published by . This book was released on 2015 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: In finance literature, volatility is synonymous with the measure of risk. Spillover of volatility refers to the transmission of disturbances or shock from one market to another and has direct consequence on resource allocation, risk hedging, and even, monetary policies. Spillover between stock markets has been the subject of study since 1990s where researchers have studied the nature of time-varying correlations between international stock markets. Extant literature substantiates the fact that volatility spillover between international stock markets happens at all times and that developed nations, particularly the US, is the major source of spillover. However, studies involving emerging markets, specifically in the Asia-Pacific region is scarce. Moreover, a clear understanding regarding the pattern of volatility transmission across international stock markets is lacking. The present study attempts to track the transmission of volatility across 11 international stock markets in the Asia-Pacific region over a span of 20 years, which include both crises (i.e. contagion form) and non-crisis periods. It also investigates whether global transmission of volatility follow a pattern. Our study contributes to the literature in two ways: (1) It provides a historical map of volatility transmission in the Asia-Pacific region; and (2) this study identifies the path and pattern of volatility spillover across Asia-Pacific stock markets.
Book Synopsis A Multivariate GARCH Analysis of Equity Returns and Volatility in Asian Equity Markets by : Andrew Worthington
Download or read book A Multivariate GARCH Analysis of Equity Returns and Volatility in Asian Equity Markets written by Andrew Worthington and published by . This book was released on 2001 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Australian Financial Market Volatility by : Tro Kortian
Download or read book Australian Financial Market Volatility written by Tro Kortian and published by . This book was released on 1996 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the behaviour of daily asset price movements in Australian bond, share and foreign exchange markets over the period 1987 to 1996, and addresses four questions concerning volatility and international market linkages. First, is there evidence of a trend increase in volatility in Australian financial markets? Second, have Australia's financial markets become more responsive to developments in counterpart foreign markets, and if so, what are the predominant foreign influences? Third, have international influences been more or less important than domestic cross-market influences? Fourth, is there evidence of directionality and other asymmetries in Australian financial market volatility? The paper finds no compelling evidence to suggest the presence of a trend increase in volatility over the period. Evidence does exist, however, of quite significant cross-country 'contagion' or 'spillover' effects on Australia's bond and equity markets. For both of these markets, the predominant foreign market influence appears to be the US. Australian bond and share market volatility is found to be higher in bear markets than in bull markets, and higher following a market fall than a market rise. Evidence supporting the presence of asymmetries in the correlation of volatilities across markets is also documented.
Book Synopsis Volatility Spillover Between the US, Chinese and Australian Stock Markets by : Emawtee Bissoondoyal-Bheenick
Download or read book Volatility Spillover Between the US, Chinese and Australian Stock Markets written by Emawtee Bissoondoyal-Bheenick and published by . This book was released on 2017 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We assess the stock market volatility spillover between three closely related countries, United States, China and Australia. This study considers industry data and hence provides a clear idea of the channels through which volatility is transmitted across these countries. We find that there is significant bilateral causality between the countries at the market index level and across most of the industries for the full sample period from July 2007 to May 2016. There is one way volatility spillover from US to China in the financial services, industrials, consumer discretionary and utilities industry. There is insignificant volatility spillover from the Australian to Chinese stock markets in financial services, telecommunications and energy industries. Once we remove the effect of the GFC, we find significant bilateral relationship across all of the industries across the three countries.
Book Synopsis Modelling Australian Stock Market Volatility by : Indika Karunanayake
Download or read book Modelling Australian Stock Market Volatility written by Indika Karunanayake and published by . This book was released on 2009 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Spillovers and Volatility Asymmetries by : Kee-hong Bae
Download or read book International Spillovers and Volatility Asymmetries written by Kee-hong Bae and published by . This book was released on 1993 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Empirical Investigation of Asia-Pacific Stock Markets by : Su-Chin Yang
Download or read book An Empirical Investigation of Asia-Pacific Stock Markets written by Su-Chin Yang and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asymmetric Volatility, Risk and Return Tradeoff in Asian Pacific Stock Markets by : Usman Bashir
Download or read book Asymmetric Volatility, Risk and Return Tradeoff in Asian Pacific Stock Markets written by Usman Bashir and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Volatility Forecasting Models and Market Co-Integration by : Erie Febrian
Download or read book Volatility Forecasting Models and Market Co-Integration written by Erie Febrian and published by . This book was released on 2010 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility forecasting is an imperative research field in financial markets and crucial component in most financial decisions. Nevertheless, which model should be used to assess volatility remains a complex issue as different volatility models result in different volatility approximations. The concern becomes more complicated when one tries to use the forecasting for asset distribution and risk management purposes in the linked regional markets.This paper aims at observing the effectiveness of the contending models of statistical and econometric volatility forecasting in the three South-east Asian prominent capital markets, i.e. STI, KLSE, and JKSE. In this paper, we evaluate eleven different models based on two classes of evaluation measures, i.e. symmetric and asymmetric error statistics, following Kumar's (2006) framework. We employ 10-year data as in sample and 6-month data as out of sample to construct and test the models, consecutively. The resulting superior methods, which are selected based on the out of sample forecasts and some evaluation measures in the respective markets, are then used to assess the markets cointegration. We find that the best volatility forecasting models for JKSE, KLSE, and STI are GARCH (2,1), GARCH(3,1), and GARCH (1,1), respectively. We also find that international portfolio investors cannot benefit from diversification among these three equity markets as they are cointegrated.
Book Synopsis Multivariate GARCH Modelling of Volatility and Comovements in Asia Pacific Markets by : Mahendra Chandra
Download or read book Multivariate GARCH Modelling of Volatility and Comovements in Asia Pacific Markets written by Mahendra Chandra and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Volatility Spillover Between the Chinese and Australian Stock Markets by : Wei Chi
Download or read book Volatility Spillover Between the Chinese and Australian Stock Markets written by Wei Chi and published by . This book was released on 2015 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite the increasingly tight economic relationship between China and Australia, little attention has been paid to the analysis of stock market volatility spillover across these two countries. This paper, based on industry data, fills the gap in the literature and provides a clear idea of the channels through which volatility is transmitted across countries. This paper finds that the volatility spillover across these two markets is bidirectional while there is single or insignificant spillover across industries between these two countries. More specifically, the results of the Granger causality test show that the stock market volatility spillover is bidirectional between these two markets in the financial, health care, industrials, information technology, and materials industries. One-way volatility spillover exists in the consumer staples industry and there is insignificant volatility spillover in the energy, telecommunications, and utilities industries between the Chinese and Australian stock markets.
