Return volatility transmission among Asian stock exchanges: Evidence from a heterogeneous market outlook DOI
Amritkant Mishra,

Vaishnavi Sakuja

Risk and Decision Analysis, Journal Year: 2023, Volume and Issue: 9(2-4), P. 73 - 85

Published: Dec. 8, 2023

This pragmatic research strives to reveal the return volatility transmission throughout Asian stock exchanges, by employing variance decomposition technique of Vector autoregressive (VAR) based framework. Additionally, current examination exerts a Granger causality approach detect short-term cause and effect among exchanges. The consequence spill-over exhibits dominancy Indian, Chinese Japanese exchanges in terms net transmitter. Further, it is found that Korean, Thai, Malaysian seem be receiver Asia. outcome investigation reveals neutrality Bangladeshi Pakistani exchange, as returns these exchange are not influenced any other Furthermore, result analysis signifies existence unidirectional In policy implication, imperative for investors policymakers closely monitor behaviour plays significant role transmitter By keeping vigilant eye on can better assess manage potential risks opportunities region.

Language: Английский

Spillover effects and network connectedness among stock markets: evidence from the U.S. and Asia DOI

Chen-Yin Kuo,

Shu‐Mei Chiang

Review of Quantitative Finance and Accounting, Journal Year: 2024, Volume and Issue: unknown

Published: Sept. 13, 2024

Language: Английский

Citations

0
VOLATILITY SPILLOVER EFFECTS BETWEEN STOCK MARKETS DURING THE CRISIS PERIODS: DIAGONAL BEKK APPROACH DOI
Nehir Balcı

Pamukkale University Journal of Social Sciences Institute, Journal Year: 2024, Volume and Issue: unknown

Published: Nov. 4, 2024

A rise in the yield of financial market assets could lead to variations returns other over time due arbitrage conditions. Consequently, this phenomenon may trigger spillover effects or cointegration among volatilities within markets. The aim study is investigate American, European, Russian, and Turkish stock markets during COVID-19 pandemic Russia-Ukraine war. Employing diagonal BEKK-GARCH model from 2020 2023, volatility transmissions examined. results reveal significant GARCH alongside modest ARCH effects. Notably, period, European exerted most influence on markets, whereas war US dominated, displaying least impact for two periods. Furthermore, findings indicate that lagged cross-volatility persistence lower period compared period.

Language: Английский

Citations

0
Regional and global shock spillovers to Africa’s equity markets: evidence from the global financial crisis and COVID-19 pandemic DOI
Louis Logogye, Godfred Aawaar, Kwasi Poku

et al.

SN Business & Economics, Journal Year: 2024, Volume and Issue: 4(12)

Published: Nov. 29, 2024

Language: Английский

Citations

0
Return volatility transmission among Asian stock exchanges: Evidence from a heterogeneous market outlook DOI
Amritkant Mishra,

Vaishnavi Sakuja

Risk and Decision Analysis, Journal Year: 2023, Volume and Issue: 9(2-4), P. 73 - 85

Published: Dec. 8, 2023

This pragmatic research strives to reveal the return volatility transmission throughout Asian stock exchanges, by employing variance decomposition technique of Vector autoregressive (VAR) based framework. Additionally, current examination exerts a Granger causality approach detect short-term cause and effect among exchanges. The consequence spill-over exhibits dominancy Indian, Chinese Japanese exchanges in terms net transmitter. Further, it is found that Korean, Thai, Malaysian seem be receiver Asia. outcome investigation reveals neutrality Bangladeshi Pakistani exchange, as returns these exchange are not influenced any other Furthermore, result analysis signifies existence unidirectional In policy implication, imperative for investors policymakers closely monitor behaviour plays significant role transmitter By keeping vigilant eye on can better assess manage potential risks opportunities region.

Language: Английский

Citations

1