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
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: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
No Contagion, Only Interdependence: Measuring Stock Market Co-Movements
By Kristin J. Forbes and Roberto Rigobon
-
Transmission of Volatility between Stock Markets
By Mervyn King and Sushil Wadhwani
-
Asymmetric Correlations of Equity Portfolios
By Joseph Chen and Andrew Ang
-
Correlations in Price Changes and Volatility Across International Stock Markets
By Yasushi Hamao, Ronald W. Masulis, ...
-
Volatiltiy and Links between National Stock Markets
By Mervyn King, Enrique Sentana, ...
-
A New Approach to Measuring Financial Contagion
By Kee-hong Bae, George Andrew Karolyi, ...
-
Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements Using Adrs
-
A New Approach to Measuring Financial Contagion
By Kee-hong Bae, George Andrew Karolyi, ...
-
By Wenling Lin, Robert F. Engle, ...