Volatility Linkages among India, Hong Kong and Singapore Stock Markets

International Research Journal of Finance and Economics, Vol. 58, pp. 141-149

17 Pages Posted: 11 Feb 2009 Last revised: 16 Dec 2010

See all articles by Nikolaos Sariannidis

Nikolaos Sariannidis

TEI of West Macedonia

George Konteos

Technological Educational Institute (TEI) of West Macedonia

Evangelos Drimbetas

Democritus University of Thrace

Date Written: February 10, 2009

Abstract

This paper analyzes the volatility linkages among three Asian stock exchange markets, namely India, Singapore and Hong Kong, during the period July 1997 to October 2005. We use a multivariate GARCH model to identify the source and magnitude of spillovers. The empirical analysis showed that the markets exhibit a strong GARCH effect and are highly integrated reacting to information which influence not only the mean returns but their volatility as well.

Keywords: volatility, multivariate GARCH, Asian stock markets

JEL Classification: G14, G15, C22

Suggested Citation

Sariannidis, Nikolaos and Konteos, George and Drimbetas, Evangelos, Volatility Linkages among India, Hong Kong and Singapore Stock Markets (February 10, 2009). International Research Journal of Finance and Economics, Vol. 58, pp. 141-149 , Available at SSRN: https://ssrn.com/abstract=1340591

Nikolaos Sariannidis (Contact Author)

TEI of West Macedonia ( email )

KOILA
KOZANI
Greece

George Konteos

Technological Educational Institute (TEI) of West Macedonia ( email )

Kila
Kozani, Kozani 50100
Greece

Evangelos Drimbetas

Democritus University of Thrace ( email )

Vas. Sofias 12, Building 1, Production & Managemen
Office 303, 3rd floor
Xanthi, Xanthi 68100
Greece

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