Dynamic Linkages of Return and Asymmetric Volatility Spillovers Among Asian Emerging Stock Markets: Evidence from Post-Global Financial Crisis Period

DOI

10.2991/aebmr.k.200402.005How to use a DOI?

Keywords

asymmetric, volatility, EGARCH, emerging markets, spillover

Abstract

The purpose of this study is to investigate the dynamics of return linkages and volatility spillovers between Asian emerging stock markets. The findings revealed that the own lagged volatility spillovers are statistically significant in all cases. Our findings also show that the asymmetric volatility spillovers are significant in all sampled stock markets except China. We find unidirectional volatility spillovers from the markets of China towards Malaysia, South Korea and Japan, from Hong Kong towards South Korea, from Pakistan towards Japan and South Korea. Moreover, the volatility spillovers of most of the stock markets are significant and bidirectional. Therefore, these markets are interrelated, and the spillover effect should be taken into consideration by policymakers, fund managers and investors.

Copyright

© 2020, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Rahil Irfan Ahmed
AU  - Guohao Zhao
PY  - 2020
DA  - 2020/04/06
TI  - Dynamic Linkages of Return and Asymmetric Volatility Spillovers Among Asian Emerging Stock Markets: Evidence from Post-Global Financial Crisis Period
BT  - Proceedings of the 3rd International Conference on Advances in Management Science and Engineering (IC-AMSE 2020)
PB  - Atlantis Press
SP  - 31
EP  - 36
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.200402.005
DO  - 10.2991/aebmr.k.200402.005
ID  - Ahmed2020
ER  -