Volatility Spillover Effects across Emerging Equity Markets of Pakistan, India, China and Bangladesh: A Multivariate GARCH-BEKK and CCC Approach

Posted: 6 Feb 2017 Last revised: 15 Feb 2017

See all articles by Kashif Hamid

Kashif Hamid

University of Agriculture, Faisalabad - Institute of Business Management Sciences

Arshad Hasan

Capital University of Science and Technology

Muhammad Tahir Suleman

University of Otago - Department of Accountancy and Finance

Muhammad Usman Khurram

College of economics, Zhejiang university

Date Written: January 1, 2017

Abstract

The purpose of this empirical study is to identify the Volatility Spillover Effects across Emerging Equity Markets of Pakistan, India, China and Bangladesh for the period of Jan 2000 to Dec 2015 on daily data basis. Historical volatility Granger Causality, Spillover Effect model, Multivariate GARCH-BEKK model and MGARCH-CCC is used for this purpose. It is concluded that large negative shifts in volatility occur more often than positive shifts in volatility and large changes occur often over this period and there exist strong triangular effect among KSE to BSE then BSE to SS and SS to KSE. Empirical evidence indicates that GARCH parameters capture the response of volatility in KSE, BSE, SS and DSE. However KSE to BSE have significant spillover effect and BSE has significant spillover effect to SS and DSE. It is evident from the results that markets own spillovers are greater than the cross-market spillovers.

Keywords: Spillover Effect, Historical Volatility, Conditional Volatility, GARCH-BEKK, GARCH-CCC

Suggested Citation

Hamid, Kashif and Hasan, Arshad and Suleman, Muhammad Tahir and Usman Khurram, Muhammad, Volatility Spillover Effects across Emerging Equity Markets of Pakistan, India, China and Bangladesh: A Multivariate GARCH-BEKK and CCC Approach (January 1, 2017). Available at SSRN: https://ssrn.com/abstract=2911592 or http://dx.doi.org/10.2139/ssrn.2911592

Kashif Hamid (Contact Author)

University of Agriculture, Faisalabad - Institute of Business Management Sciences ( email )

Faisalabad, 38000
Pakistan

Arshad Hasan

Capital University of Science and Technology ( email )

Islamabad
Islamabad, Fedral
Pakistan

Muhammad Tahir Suleman

University of Otago - Department of Accountancy and Finance ( email )

PO Box 56
Dunedin, 9054
New Zealand

Muhammad Usman Khurram

College of economics, Zhejiang university ( email )

Yuquan Campus 38 Zheda Road
Hangzhou, Zhejiang 310027
China

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