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A multivariate GARCH analysis of equity returns and volatility in Asian equity markets

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  • Andrew Worthington
  • Helen Higgs

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 generalised 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 homogenous across the emerging markets, and own-volatility spillovers are generally higher than cross-volatility spillovers for all markets, but especially for the emerging markets.

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File URL: http://external-apps.qut.edu.au/business/documents/discussionPapers/2001/Andrew%20Wortho%20-%20No.%2089.pdf
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Bibliographic Info

Paper provided by School of Economics and Finance, Queensland University of Technology in its series School of Economics and Finance Discussion Papers and Working Papers Series with number 089.

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Date of creation: 20 Mar 2001
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Handle: RePEc:qut:dpaper:089

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Keywords: Emerging equity markets; mean and volatility spillovers; multivariate GARCH;

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References

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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 47190, University Library of Munich, Germany, revised 17 May 2013.
  2. Ozun, Alper & Turk, Mehmet, 2010. "Leading Economic Determinants of Foreign Trade Volume in Turkish Agriculture Sector," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 11(1), January.
  3. Kathleen Goffey & Andrew Worthington, 2002. "Motor Vehicle Usage Patterns in Australia: A Comparative Analysis of Driver, Vehicle & Purpose Characteristics for Household & Freight Travel," School of Economics and Finance Discussion Papers and Working Papers Series 117, School of Economics and Finance, Queensland University of Technology.
  4. Xiaojing Zhang & Tao Sun, 2009. "Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR," IMF Working Papers 09/166, International Monetary Fund.

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