Stock Returns and Asymmetric Volatility Spillover Dynamics Between Asian Emerging Markets

• Published in: Global business review Vol. 22; no. 5; pp. 1131 - 1145
• Main Authors: Habiba, Umm E, Peilong, Shen, Hamid, Kashif, Shahzad, Farrukh
• Format: Journal Article
• Language: English
• Published: New Delhi, India SAGE Publications 01-10-2021; SAGE PUBLICATIONS, INC
• Subjects: Emerging markets; Investors; Policy making; Securities markets; Stock exchanges; Volatility; China; Pakistan; Indonesia; subprime financial crisis; return linkages; extended EGARCH model; volatility spillover; Asian emerging stock markets
• ISSN: 0972-1509; 0973-0664
• DOI: 10.1177/0972150919838433

This study investigates the dynamics of volatility spillover among Asian emerging stock markets over the period from 1 January 2002 to 29 December 2017. This study applies extended EGARCH model to estimate the asymmetric volatility spillovers. The findings of this study are interesting. This study finds statistically significant own past volatility spillovers in all selected stock markets. We find bidirectional significant spillovers of volatility in most of the selected markets. Moreover, we find significant asymmetric volatility spillover in all case of stock markets. Furthermore, the findings reveal statistically insignificant volatility spillover from China to India, China to Indonesia, China to Pakistan, Pakistan to China, Pakistan to Indonesia, Pakistan to Korea and Pakistan to Taiwan in this study period. The knowledge of return linkages and volatility spillover amongst Asian emerging financial markets has great implications for global investors, portfolio managers and policymakers.