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Integration Of The South And East Asian Stock Markets Return And Volatility Spillovers From Us Uk Singapore And Hong Kong Using Egarch Model
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Book Synopsis Integration of the South and East Asian Stock Markets, Return and Volatility Spillovers from US, UK, Singapore and Hong Kong Using EGARCH Model by : Rashid Ameer
Download or read book Integration of the South and East Asian Stock Markets, Return and Volatility Spillovers from US, UK, Singapore and Hong Kong Using EGARCH Model written by Rashid Ameer and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Return and Volatility Spillovers Among Asian Stock Markets by : Prashant Mahesh Joshi
Download or read book Return and Volatility Spillovers Among Asian Stock Markets written by Prashant Mahesh Joshi and published by . This book was released on 2018 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Price and Volatility Spillovers Across North American, European and Asian Stock Markets by : Priyanka Singh
Download or read book Price and Volatility Spillovers Across North American, European and Asian Stock Markets written by Priyanka Singh and published by . This book was released on 2010 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Volatility Linkages among India, Hong Kong and Singapore Stock Markets by : Nikolaos Sariannidis
Download or read book Volatility Linkages among India, Hong Kong and Singapore Stock Markets written by Nikolaos Sariannidis and published by . This book was released on 2010 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the volatility linkages among three Asian stock exchange markets, namely India, Singapore and Hong Kong, during the period July 1997 to October 2005. We use a multivariate GARCH model to identify the source and magnitude of spillovers. The empirical analysis showed that the markets exhibit a strong GARCH effect and are highly integrated reacting to information which influence not only the mean returns but their volatility as well.
Book Synopsis Volatility Spillovers Among the U.S. and Asian Stock Markets by : Li Yang
Download or read book Volatility Spillovers Among the U.S. and Asian Stock Markets written by Li Yang and published by . This book was released on 2013 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis The Global Financial Crisis and the Integration of Emerging Stock Markets in Asia by : Sang Hoon Kang
Download or read book The Global Financial Crisis and the Integration of Emerging Stock Markets in Asia written by Sang Hoon Kang and published by . This book was released on 2013 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the effects of volatility spillovers among five Asian stock markets (China, Hong Kong, Korea, Singapore, and Taiwan) and examines how the global financial crisis of 2008 has influenced volatility transmission among Asian stock markets. The results from a VAR(1)-bivariate GARCH model indicate strong volatility linkages between the Chinese stock market and the four emerging stock markets since the global financial crisis, suggesting the intensification of stock market integration in Asia since the crisis increases the integration of Chinese stock market in Asia. This strong integration of the markets is important in that the intensified linkages can reduce potential gains from the diversification of international equity portfolios.
Book Synopsis Return and Volatility Spillover Across Equity Markets Between China and Southeast Asian Countries by : Hung Ngo
Download or read book Return and Volatility Spillover Across Equity Markets Between China and Southeast Asian Countries written by Hung Ngo and published by . This book was released on 2019 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
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 The Integration of East Asian Equity Markets by : Zarina Zainal Abidin
Download or read book The Integration of East Asian Equity Markets written by Zarina Zainal Abidin and published by . This book was released on 2002 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Return and Volatility Spillovers Among the East Asian Equity Markets by : Kamil Yılmaz
Download or read book Return and Volatility Spillovers Among the East Asian Equity Markets written by Kamil Yılmaz and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Book Synopsis Stock Market Integration and the Pricing for Regionalism by : Chee Wooi Hooy
Download or read book Stock Market Integration and the Pricing for Regionalism written by Chee Wooi Hooy and published by . This book was released on 2010 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Study of Nonlinear Correlation Between Shanghai, Hongkong and American Stock Returns -- An Empirical Analysis Based on MS-VAR Model and MS-DCC-MVGARCH Model by : Decai Zhou
Download or read book The Study of Nonlinear Correlation Between Shanghai, Hongkong and American Stock Returns -- An Empirical Analysis Based on MS-VAR Model and MS-DCC-MVGARCH Model written by Decai Zhou and published by . This book was released on 2014 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: Considering the mean and the volatility correlation of Chinese and foreign stock market may undergo structural changes because of the reform and opening-up, the paper attempts to incorporate Markov state transition mechanism(MS) into both the VAR model and DCC-MVGARCH model at the same time. Based on that, it constructs the MS-VAR model and MS-DCC-MVGARCH model to empirically verify the nonlinear mean spillover effect and the volatility correlation among the Shanghai, Hong Kong and American stock markets. Empirical research shows that: firstly, there exists differentiating character among the correlation of these stock markets. USA stock market has positive spillover effect on Shanghai and Hong Kong stock markets, but it is not obvious conversely; at the same time; the volatility correlation between Shanghai and Hong Kong stock market is the highest, and it presents periodic volatility, while the volatility correlation between HK and US is the lowest, and it presents a stable fluctuant feature. Secondly, the interaction among the effects of Shanghai, Hong Kong and American Stock Market presents the obvious non-linear feature. The mean spillover effect among these stock markets in state 2 is significantly greater than in state 1; at the same time, the effects of volatility among these stock markets in state 1 is significantly higher than that of in state 2.
Book Synopsis Information Leadership in the Advanced Asia-Pacific Stock Markets by : Suk-Joong Kim
Download or read book Information Leadership in the Advanced Asia-Pacific Stock Markets written by Suk-Joong Kim and published by . This book was released on 2005 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Volatility Spillovers between the US and the China Stock Markets by : Gyu-Hyun Moon
Download or read book Volatility Spillovers between the US and the China Stock Markets written by Gyu-Hyun Moon and published by . This book was released on 2010 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper examines the short-run spillover effects of daily stock returns and volatilities between the Samp;P 500 in the U.S. and Shanghai SSE composite in China. First, we find that a structural break occurred in the SSE stock return mean in December 2005. Second, by analyzing modified GARCH (1,1)-M models, we find evidence of a symmetric and asymmetric volatility spillover effect from the U.S. to the China stock market in the post-break period. Third, we observe the symmetric volatility spillover effect from China to the U.S. in the post-break period.
Book Synopsis Volatility Spillover Among Stock Markets in Six Asian Countries and the United States by : Sang Jin Lee
Download or read book Volatility Spillover Among Stock Markets in Six Asian Countries and the United States written by Sang Jin Lee and published by . This book was released on 2009 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Return and Volatility Spillovers in Hong Kong Financial Markets by : Laurence Fung
Download or read book Return and Volatility Spillovers in Hong Kong Financial Markets written by Laurence Fung and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the return and volatility spillovers between the stock market, the Exchange Fund Notes market and the Hong Kong dollar forward exchange market. Based on a bivariate GARCH model that specifies exogenous influences in the conditional mean and variance equations, this study examines the source and magnitude of the return and volatility spillover between financial markets. The estimation results suggest that while the pattern of return spillover is not clear, there is some evidence of volatility transmissions between selected financial markets in Hong Kong. In terms of the economic impact, however, most of these spillovers are minimal. When financial markets are turbulent, the return spillover from the forward exchange market to the stock market and the volatility transmission from the forward exchange market to the Exchange Fund Notes market can be substantial. As such, close monitoring of the fluctuations in the forward exchange market is warranted.
Book Synopsis Transmission of Stock Return and Volatility Across G-7 Countries by : Abu S. Amin
Download or read book Transmission of Stock Return and Volatility Across G-7 Countries written by Abu S. Amin and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates transmission of shocks in return and volatility across the G-7 countries using daily closing stock returns from 19th July 1994 to 30th January 2004. To capture observed asymmetry in volatility generated by the innovations within and across markets, a Vector Autoregressive-Exponential Generalized Autoregressive Conditional Heteroscedasticity (VAR-EGARCH) model has been used. Significant spillover in return and volatility are observed from US markets to other developed markets. There are evidences of strong regional dependency in volatility but not in return across the major European markets. Returns in Japanese market are significantly influenced by the US, UK and French markets, while all other markets (except Canada) exhibit significant return spillovers from Japanese market. Unlike returns, Japanese volatility is not at all influenced by any other G-7 markets. Volatilities in the European markets also contribute to the volatility in US and Canadian market. Own-volatility spillovers are generally higher than cross-volatility spillovers for all markets.
