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

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  • 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.

Suggested Citation

  • Andrew Worthington & Helen Higgs, 2004. "Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(1), pages 71-80.
    • Handle: RePEc:ijf:ijfiec:v:9:y:2004:i:1:p:71-80
    DOI: 10.1002/ijfe.222
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    References listed on IDEAS

    as
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