IDEAS home Printed from https://ideas.repec.org/a/jqe/jqenew/v8y2010i1p86-94.html
   My bibliography  Save this article

Modeling Volatility in Emerging Stock Markets Of India And China

Author

Listed:
  • Prashant Joshi

    (Shrimad Rajchandra Institute of Management and Computer Application, Surat)

Abstract

The study investigated the stock market volatility in the emerging stock markets of India and China using daily closing price from 1st January, 2005 to 12th May, 2009. The results detect the presence of non-linearity through BDSL test while conditional Heteroscedasticity is identified through ARCH-LM test. The findings reveal that the GARCH(1,1) model successfully captures nonlinearity and volatility clustering. The analysis suggests that the persistence of volatility in Chinese stock market is more than Indian stock market.

Suggested Citation

  • Prashant Joshi, 2010. "Modeling Volatility in Emerging Stock Markets Of India And China," Journal of Quantitative Economics, The Indian Econometric Society, vol. 8(1), pages 86-94, January.
    • Handle: RePEc:jqe:jqenew:v:8:y:2010:i:1:p:86-94
    as

    Download full text from publisher

    File URL: http://www.jqe.co.in/journals/JQE_v8_n1_2010_p5.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38.
    2. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    3. Thierry Ane, 2006. "Short and long term components of volatility in Hong Kong stock returns," Applied Financial Economics, Taylor & Francis Journals, vol. 16(6), pages 439-460.
    4. Sunil Poshakwale & Victor Murinde, 2001. "Modelling the volatility in East European emerging stock markets: evidence on Hungary and Poland," Applied Financial Economics, Taylor & Francis Journals, vol. 11(4), pages 445-456.
    5. T. Ane, 2006. "Short and long term components of volatility in Hong Kong stock returns," Post-Print hal-00170780, HAL.
    6. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Soumya Ganguly & Amalendu Bhunia, 2022. "Testing volatility and relationship among BRICS stock market returns," SN Business & Economics, Springer, vol. 2(8), pages 1-15, August.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Prashant Joshi, 2014. "Analyzing Performance Of Garch Models In Nse," Working papers 2014-09-16, Voice of Research.
    2. Lee, Yen-Hsien & Hu, Hsu-Ning & Chiou, Jer-Shiou, 2010. "Jump dynamics with structural breaks for crude oil prices," Energy Economics, Elsevier, vol. 32(2), pages 343-350, March.
    3. Dongweí Su, 2003. "Risk, Return and Regulation in Chinese Stock Markets," World Scientific Book Chapters, in: Chinese Stock Markets A Research Handbook, chapter 3, pages 75-122, World Scientific Publishing Co. Pte. Ltd..
    4. Stentoft, Lars, 2005. "Pricing American options when the underlying asset follows GARCH processes," Journal of Empirical Finance, Elsevier, vol. 12(4), pages 576-611, September.
    5. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
    6. Duan, Jin-Chuan & Simonato, Jean-Guy, 2001. "American option pricing under GARCH by a Markov chain approximation," Journal of Economic Dynamics and Control, Elsevier, vol. 25(11), pages 1689-1718, November.
    7. Drost, Feike C. & Werker, Bas J. M., 1996. "Closing the GARCH gap: Continuous time GARCH modeling," Journal of Econometrics, Elsevier, vol. 74(1), pages 31-57, September.
    8. Issler, João Victor, 1999. "Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version)," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 347, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    9. Chia-Lin Chang & Michael McAleer & Christine Lim, 2010. "Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan," Working Papers in Economics 10/40, University of Canterbury, Department of Economics and Finance.
    10. David McMillan & Alan Speight, 2006. "Heterogeneous information flows and intra-day volatility dynamics: evidence from the UK FTSE-100 stock index futures market," Applied Financial Economics, Taylor & Francis Journals, vol. 16(13), pages 959-972.
    11. Lucy Ackert & Marie Racine, 1997. "The economics of conditional heteroskedasticity: Evidence from canadian and U.S. stock and futures markets," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 25(4), pages 371-385, December.
    12. Kolkiewicz, A. W. & Tan, K. S., 2006. "Unit-Linked Life Insurance Contracts with Lapse Rates Dependent on Economic Factors," Annals of Actuarial Science, Cambridge University Press, vol. 1(1), pages 49-78, March.
    13. Nelson, Daniel B., 1996. "Asymptotic filtering theory for multivariate ARCH models," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 1-47.
    14. Mirzosaid Sultonov, 2020. "The Impacts of International Political and Economic Events on Japanese Financial Markets," IJFS, MDPI, vol. 8(3), pages 1-10, July.
    15. Gondzio, Jacek & Kouwenberg, Roy & Vorst, Ton, 2003. "Hedging options under transaction costs and stochastic volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1045-1068, April.
    16. Saha, Mallika & Dutta, Kumar Debasis & Islam, MD. Shafiqul, 2020. "Explaining the nature of economic volatility based on GDP and international trade: a study on China and the United States," MPRA Paper 111482, University Library of Munich, Germany.
    17. Yvon Fauvel & Alain Paquet & Christian Zimmermann, 1999. "A Survey on Interest Rate Forecasting," Cahiers de recherche CREFE / CREFE Working Papers 87, CREFE, Université du Québec à Montréal.
    18. Gatfaoui, Hayette, 2013. "Translating financial integration into correlation risk: A weekly reporting's viewpoint for the volatility behavior of stock markets," Economic Modelling, Elsevier, vol. 30(C), pages 776-791.
    19. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
    20. Omar Euch & Masaaki Fukasawa & Mathieu Rosenbaum, 2018. "The microstructural foundations of leverage effect and rough volatility," Finance and Stochastics, Springer, vol. 22(2), pages 241-280, April.

    More about this item

    Keywords

    Volatility clustering; nonlinearity; BDSL; GARCH;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jqe:jqenew:v:8:y:2010:i:1:p:86-94. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: D. M. Nachane or the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/tiesoea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.