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Volatility Linkages between Equity Markets of Pakistan, India, Singapore and Hong Kong: A GARCH BEKK Approach

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  • Muhammad Junaid Iqbal
  • Afsheen Abrar
  • Nagina Jamil
  • Abid Ali Shah
  • AhsanulHaqSatti

Abstract

The purpose of current study is to explore the volatility linkages between four Asian equity markets, which arePakistan (Karachi Stock Exchange), India (Bombay Stock Exchange), Hong Kong (Hang Sang Index) and Singapore (Strait Time Index). We estimate Multivariate GARCH BEKK model using weekly returns from January 2000 to August 2011.Direct evidences of linkages are found among all markets with respect to conditional mean returns and volatility.Own volatility spillover is found greater than cross volatility spillover in all emerging and developed economies.The insinuation of this study is that overseas investors may take advantage from the decrease of uncertainty by accumulating the stocks in the emerging markets to their investment portfolio.

Suggested Citation

  • Muhammad Junaid Iqbal & Afsheen Abrar & Nagina Jamil & Abid Ali Shah & AhsanulHaqSatti, 2012. "Volatility Linkages between Equity Markets of Pakistan, India, Singapore and Hong Kong: A GARCH BEKK Approach," Journal of Economics and Behavioral Studies, AMH International, vol. 4(1), pages 47-54.
    • Handle: RePEc:rnd:arjebs:v:4:y:2012:i:1:p:47-54
    DOI: 10.22610/jebs.v4i1.301
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    Cited by:

    1. Muhammad Niaz Khan & Suzanne G. M. Fifield & Nongnuch Tantisantiwong & David M. Power, 2022. "Changes in co-movement and risk transmission between South Asian stock markets amidst the development of regional co-operation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(1), pages 87-117, March.

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