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Volatility transmission in regional Asian stock markets

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

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    Bibliographic Info

    Article provided by Elsevier in its journal Emerging Markets Review.

    Volume (Year): 16 (2013)
    Issue (Month): C ()
    Pages: 66-77

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    Handle: RePEc:eee:ememar:v:16:y:2013:i:c:p:66-77

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    Web page: http://www.elsevier.com/locate/inca/620356

    Related research

    Keywords: Volatility; Diversification; Emerging markets;

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    Cited by:
    1. Gilles De Truchis & Benjamin Keddad, 2013. "Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities," Working Papers halshs-00862256, HAL.
    2. Lau, Chi Keung Marco & Demir, Ender & Bilgin, Mehmet Huseyin, 2013. "Experience-based corporate corruption and stock market volatility: Evidence from emerging markets," Emerging Markets Review, Elsevier, vol. 17(C), pages 1-13.

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