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Stock Market Integration and Volatility Spillover:India and its Major Asian Counterparts

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  • Mukherjee, Dr. Kedar nath
  • Mishra, Dr. R. K.
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    Abstract

    Return and volatility spillover among Indian stock market with that of 12 other developed and emerging Asian countries over a period from November 1997 to April 2008 is studied. Daily opening and closing prices of all major equity indices from the sample countries are examined by applying the GARCH model [Engle (1982) and Bollerslev (1986)] to explore the possibility of stock market integration and volatility spillover among India and its major Asian counterparties. Apart from different degrees of correlations, both in terms of return and squared return series, among Indian stock market with that of other Asian countries, the contemporaneous intraday return spillover among India and almost all the sample countries are found to be positively significant and bi-directional. More specifically, Hong Kong, Korea, Singapore and Thailand are found to be the four Asian markets from where there is a significant flow of information in India. Similarly, among others, stock markets in Pakistan and Sri Lanka are found to be strongly influenced by movements in Indian market. Though most of the information gets transmitted among the markets without much delay, some amount of information still remains and can successfully transmit as soon as the market opens in the next day.

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    Bibliographic Info

    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 12788.

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    Date of creation: 26 Dec 2008
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    Handle: RePEc:pra:mprapa:12788

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    Keywords: Asian stock markets; Integration; Information spillover; GARCH model;

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    Cited by:
    1. Sinha, Pankaj & Sinha, Gyanesh, 2010. "Volatility Spillover in India, USA and Japan Investigation of Recession Effects," MPRA Paper 21873, University Library of Munich, Germany.
    2. Mulyadi, Martin Surya, 2009. "Volatility spillover in Indonesia, USA, and Japan capital market," MPRA Paper 16914, University Library of Munich, Germany.

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