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Emerging Markets and Volatility Spillover Effects: Empirical Evidence from Regional Emerging Economies of Pakistan, China, India, and Bangladesh

Author

Listed:
  • Kashif Hamid

    (Lecturer, Institute of Business Management Sciences, University of Agriculture, Faisalabad, Punjab, Pakistan.)

  • Muhammad Mudasar Ghafoor

    (Assistant Professor, Department of Commerce, University of the Punjab, Jhelum Campus, Jhelum, Punjab, Pakistan.)

  • Muhammad Yasir Saeed

    (Ph.D Scholar, Department of Management Sciences, Preston University, Islamabad, Pakistan.)

Abstract

Emerging markets and volatility spillover effects remained a highly focused area in the field of financial economics. Therefore, we have empirically testified the volatility spillover effects between markets of emerging economies i.e Pakistan, China, Bangladesh, and India during the period from 1st January 2000 to 31st December 2015. We used Multivariate GARCH and causality models to identify the spillover effects. It is concluded that there exists significant evidence of spillover effect from the market of Pakistan to India, India to China and from China to Pakistan. However, the larger negative shift in the volatility occurs more frequently than positive shocks. Hence it is concluded that the impact of own spillovers of the markets is much higher than the impact of cross-market spillovers during this period.

Suggested Citation

  • Kashif Hamid & Muhammad Mudasar Ghafoor & Muhammad Yasir Saeed, 2020. "Emerging Markets and Volatility Spillover Effects: Empirical Evidence from Regional Emerging Economies of Pakistan, China, India, and Bangladesh," Global Economics Review, Humanity Only, vol. 5(1), pages 102-116, March.
    • Handle: RePEc:aaw:journl:v:5:y:2020:i:1:p:102-116
    DOI: 10.31703/ger.2020(V-I).09
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    More about this item

    Keywords

    Emerging Markets. Volatility Spillover Effects; Multivariate GARCH Models;

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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