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Return and Volatility Spillovers of Asian Pacific Stock Markets Energy Indices

Author

Listed:
  • Manivannan Babu

    (Bharathidasan School of Management, Bharathidasan University, India,)

  • C. Hariharan

    (Nehru Institute of Technology, Coimbatore, Tamil Nadu, India)

  • S. Srinivasan

    (Sri Ramachandra Institute of Higher Education and Research, India,)

  • P. S. Shabi Shimny

    (Gulf Centre for University Education (IGNOU), India,)

  • Gayathri Jayapal

    (Department of Commerce and Financial Studies, Bharathidasan University, India,)

  • G. Indhumathi

    (Mother Teresa Women s University, India,)

  • J. Sathya

    (Sri Sarada College for Women, India,)

  • Brintha Rajendran

    (Bharathidasan School of Management, India,)

  • Veeramani Anandhabalaji

    (Bharathidasan School of Management, Bharathidasan University, India,)

  • Chinnadurai Kathiravan

    (VIT Business School, VIT University, India.)

Abstract

The aim of the study was to investigate the presence of volatility among the Energy Indices of Asia Pacific Stock Markets. To test the volatility among the daily returns of Energy Indices of Asia Pacific Stock Markets, the study selected five sample Asian Pacific stock markets Energy Indices on the basis of availability of data. The findings of descriptive statistics and the ADF Test revealed, that the daily returns of the sample energy indices of Asian Pacific stock markets were not normally distributed and achieved stationarity at level difference, over the research period. Hence the data may be used for additional analysis. The data were then analysed, by using the GARCH (1,1) model to assess the considerable volatility of daily returns of sample energy indices and the study, which revealed that during the study period, all of the sample energy indices were volatile.

Suggested Citation

  • Manivannan Babu & C. Hariharan & S. Srinivasan & P. S. Shabi Shimny & Gayathri Jayapal & G. Indhumathi & J. Sathya & Brintha Rajendran & Veeramani Anandhabalaji & Chinnadurai Kathiravan, 2023. "Return and Volatility Spillovers of Asian Pacific Stock Markets Energy Indices," International Journal of Energy Economics and Policy, Econjournals, vol. 13(1), pages 61-66, January.
    • Handle: RePEc:eco:journ2:2023-01-9
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    References listed on IDEAS

    as
    1. Amirreza Attarzadeh & Mehmet Balcilar, 2022. "On the Dynamic Connectedness of the Stock, Oil, Clean Energy, and Technology Markets," Energies, MDPI, vol. 15(5), pages 1-18, March.
    2. Manivannan Babu & A. Antony Lourdesraj & Gayathri Jayapal & G. Indhumathi & J. Sathya, 2022. "Effect of COVID-19 Pandemic on NSE Nifty Energy Index," International Journal of Energy Economics and Policy, Econjournals, vol. 12(4), pages 141-145, July.
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    Cited by:

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    More about this item

    Keywords

    Asian Pacific Stock Market; Energy Index; GARCH (1; 1); Volatility Spillovers;
    All these keywords.

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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