Volatility transmission in regional Asian stock markets
AbstractThis 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Emerging Markets Review.
Volume (Year): 16 (2013)
Issue (Month): C ()
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Web page: http://www.elsevier.com/locate/inca/620356
Volatility; Diversification; Emerging markets;
Find related papers by JEL classification:
- N25 - Economic History - - Financial Markets and Institutions - - - Asia including Middle East
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- Gilles de Truchis & Benjamin Keddad, 2013.
"Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities,"
AMSE Working Papers
1346, Aix-Marseille School of Economics, Marseille, France, revised Sep 2013.
- Gilles De Truchis & Benjamin Keddad, 2013. "Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities," Working Papers halshs-00862256, HAL.
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