Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets
AbstractThis paper examines the linkages of stock markets across the U.S., Japan and six Asian developing countries: China, India, Indonesia, Malaysia, the Philippines and Thailand over the period January 1, 1993 to December 31, 2012. The volatility spillover is modeled through an asymmetric multivariate GARCH model. We find significant unidirectional shock and volatility spillovers from the U.S. market to both the Japanese and the Asian emerging markets. It is also found that the volatility spillovers between the U.S. market and the Asian markets are stronger and bidirectional during the Asian financial crisis. Further, during the last five years, the linkages between the Japanese market and the Asian emerging markets became more apparent. Our paper contributes to the literature by examining both the long run and the short run periods and focusing on shock and volatility spillovers rather than return spillovers, which have been the primary focus of most other studies.
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Bibliographic InfoPaper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 1301.
Length: 40 pages
Date of creation: 08 Oct 2013
Date of revision:
Note: ISSN 1485-6441
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Volatility; Spillovers; Stock markets; Multivariate GARCH; Asymmetric BEKK model;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G1 - Financial Economics - - General Financial Markets
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