Dynamic Linkages of Return and Asymmetric Volatility Spillovers Among Asian Emerging Stock Markets: Evidence from Post-Global Financial Crisis Period
Rahil Irfan Ahmed, Guohao Zhao
Rahil Irfan Ahmed
Available Online 6 April 2020.
- https://doi.org/10.2991/aebmr.k.200402.005How to use a DOI?
- asymmetric, volatility, EGARCH, emerging markets, spillover
- 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.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
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 - https://doi.org/10.2991/aebmr.k.200402.005 ID - Ahmed2020 ER -