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Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis

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Author Info
Andrew Worthington (School of Economics and Finance, Queensland University of Technology, QLD 4001, Australia)
Helen Higgs (School of Economics and Finance, Queensland University of Technology, QLD 4001, Australia)
Abstract

This paper examines the transmission of equity returns and volatility among Asian equity markets and investigates the differences that exist in this regard between the developed and emerging markets. Three developed markets (Hong Kong, Japan and Singapore) and six emerging markets (Indonesia, Korea, Malaysia, the Philippines, Taiwan and Thailand) are included in the analysis. A multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model is used to identify the source and magnitude of spillovers. The results generally indicate the presence of large and predominantly positive mean and volatility spillovers. Nevertheless, mean spillovers from the developed to the emerging markets are not homogeneous across the emerging markets, and own-volatility spillovers are generally higher than cross-volatility spillovers for all markets, but especially for the emerging markets. Copyright © 2003 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/ijfe.222
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Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.

Volume (Year): 9 (2004)
Issue (Month): 1 ()
Pages: 71-80
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ijf:ijfiec:v:9:y:2004:i:1:p:71-80

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Ilan Goldfajn & Taimur Baig, 1999. "Financial market contagion in the Asian crisis," Textos para discussão 400, Department of Economics PUC-Rio (Brazil). [Downloadable!]
  2. Nicholas Tay & Zhen Zhu, 2000. "Correlations in Returns and Volatilities in Pacific-Rim Stock Markets," Open Economies Review, Springer, vol. 11(1), pages 27-47, January. [Downloadable!] (restricted)
  3. Roca, Eduardo D, 1999. "Short-Term and Long-Term Price Linkages between the Equity Markets of Australia and Its Major Trading Partners," Applied Financial Economics, Taylor and Francis Journals, vol. 9(5), pages 501-11, October. [Downloadable!] (restricted)
  4. Aleš Bulir & Atish R. Ghosh & A. Javier Hamann & Timothy D. Lane & Alex Mourmouras & Steven Phillips & Marianne Schulze-Gattas & Jack Boorman, 2000. "Managing Financial Crises - The Experience in East Asia," IMF Working Papers 00/107, International Monetary Fund.
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  5. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February. [Downloadable!]
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  6. Taimur Baig & Ilan Goldfajn, 1998. "Financial Market Contagion in the Asian Crisis," IMF Working Papers 98/155, International Monetary Fund.
  7. Dunne, Peter G., 1999. "Size and book-to-market factors in a multivariate GARCH-in-mean asset pricing application," International Review of Financial Analysis, Elsevier, vol. 8(1), pages 35-52. [Downloadable!] (restricted)
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  8. Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August. [Downloadable!] (restricted)
  9. repec:cup:etheor:v:11:y:1995:i:1:p:122-50 is not listed on IDEAS
  10. Geert Bekaert & Campbell R. Harvey, 2000. "Foreign Speculators and Emerging Equity Markets," Journal of Finance, American Finance Association, vol. 55(2), pages 565-613, 04. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Bank for International Settlements and Bank Negara Malaysia, 2008. "Regional financial integration in Asia: present and future," BIS Papers, Bank for International Settlements, number 42, Janvier-M. [Downloadable!]
  2. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working papers 2008-49, University of Connecticut, Department of Economics. [Downloadable!]
    Other versions:
  3. Bank for International Settlements, 2008. "Integration of India's stock market with global and major regional markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 202-236 Bank for International Settlements. [Downloadable!]
  4. Valadkhani, Abbas & O'Brien, Martin & Karunanayake, Indika, 2009. "Modelling Australian Stock Market Volatility: A Multivariate GARCH Approach," Economics Working Papers wp09-11, School of Economics, University of Wollongong, NSW, Australia. [Downloadable!]
  5. David Peel & Ivan Paya & Shenqiu Zhang, 2009. "Linkages between Shanghai and Hong Kong stock indices," Working Papers 005927, Lancaster University Management School, Economics Department. [Downloadable!]
  6. Viviana Fernandez, 2004. "Time-Scale Decomposition of Price Transmission in International Markets," Documentos de Trabajo 189, Centro de Economía Aplicada, Universidad de Chile. [Downloadable!]
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  7. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-mean Analysis," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    Other versions:
  8. Priyanka Singh,Brajesh Kumar,Ajay Pandey, 2008. "Price and Volatility Spillovers across North American, European and Asian Stock Markets: With Special Focus on Indian Stock Market," IIMA Working Papers 2008-12-04, Indian Institute of Management Ahmedabad, Research and Publication Department. [Downloadable!]
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