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Volatility transmission in regional Asian stock markets

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  • Abbas, Qaisar
  • Khan, Sabeen
  • Shah, Syed Zulfiqar Ali

Abstract

This study aims to investigate the presence of volatility transmission among regional equity markets of Pakistan, China, India, and Sri Lanka. Moreover for developed countries, the stock indices of USA, UK, Singapore, and Japan have been considered. If countries of the same region have a long run relationship then chances of an optimum currency area increases whereas, a diversification strategy to reduce risk is not workable. Results among the developed and Asian countries show that volatility transmission is present between friendly countries of different regions with economic links. We also find some evidence of transmission of volatility between countries which are on unfriendly terms.

Suggested Citation

  • Abbas, Qaisar & Khan, Sabeen & Shah, Syed Zulfiqar Ali, 2013. "Volatility transmission in regional Asian stock markets," Emerging Markets Review, Elsevier, vol. 16(C), pages 66-77.
    • Handle: RePEc:eee:ememar:v:16:y:2013:i:c:p:66-77
    DOI: 10.1016/j.ememar.2013.04.004
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    More about this item

    Keywords

    Volatility; Diversification; Emerging markets;
    All these keywords.

    JEL classification:

    • N25 - Economic History - - Financial Markets and Institutions - - - Asia including Middle East

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