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Volatility Spillovers From The Japanese Stock Market To Emerging Stock Markets

Author

Listed:
  • MUZAMMIL KHURSHID

    (Assistant Professor, Department of Banking and Finance, University of the Punjab, Gujranwala Campus, Pakistan)

  • MUHAMMAD AZEEM

    (Assistant Professor, Department of Management Sciences. University of Central Punjab, Gujranwala Campus, Pakistan)

  • NISAR AHMAD

    (Associate Professor, Hailey College of Commerce, University of the Punjab, Lahore, Pakistan)

Abstract

The primary aim of this research is to investigate the transmission of volatility from the Japanese Stock Market to the Emerging Seven(E7) Stock Markets. In this study, the VAR-GARCH model has been utilized after collecting daily data from September 1, 2010, to March 15, 2021. The results indicate a substantial presence of volatility transmission from the Japanese stock market to the E7 markets. It becomes evident that the constant conditional correlations indicate a significant level of correlation between the stock markets of the majority of E7 countries and Japan. This finding implies that while analyzing the volatility between these markets the consideration of the geographical proximity between them is also vital.

Suggested Citation

  • Muzammil Khurshid & Muhammad Azeem & Nisar Ahmad, 2023. "Volatility Spillovers From The Japanese Stock Market To Emerging Stock Markets," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 12(2), pages 118-125.
    • Handle: RePEc:rfh:bbejor:v:12:y:2023:i:2:p:118-125
    DOI: https://zenodo.org/records/8338657
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    References listed on IDEAS

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    More about this item

    Keywords

    Volatility Spillover; E7 Stock Markets; JapanStock Market; VAR-GARCH Model;
    All these keywords.

    JEL classification:

    • E7 - Macroeconomics and Monetary Economics - - Macro-Based Behavioral Economics

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