Transmission of equity returns and volatility in Asian developed and emerging markets : a multivariate Garch analysis
Worthington, Andrew C. & Higgs, Helen (2004) Transmission of equity returns and volatility in Asian developed and emerging markets : a multivariate Garch analysis. International Journal of Finance and Economics, 9(1), pp. 71-80.
This paper examines the transmission of equity returns and volatility among Asian equity markets and investigates the differences that exist in this regard between the developed and emerging markets. Three developed markets (Hong Kong, Japan and Singapore) and six emerging markets (Indonesia, Korea, Malaysia, the Philippines, Taiwan andThailand) are included in the analysis. A multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model is used to identify the source and magnitude of spillovers. The results generally indicate the presence of large and predominantly positive mean and volatility spillovers. Nevertheless, mean spillovers from the
developed to the emerging markets are not homogeneous across the emerging markets, and own-volatility spillovers are generally higher than cross-volatility spillovers for all markets, but especially for the emerging markets.
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|Item Type:||Journal Article|
|Keywords:||Emerging markets, market integration, volatility, spillover|
|Subjects:||Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Financial Economics (140207)|
Australian and New Zealand Standard Research Classification > ECONOMICS (140000)
Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > BANKING FINANCE AND INVESTMENT (150200) > Financial Econometrics (150202)
Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > ECONOMETRICS (140300) > Time-Series Analysis (140305)
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
|Copyright Owner:||Copyright 2004 John Wiley & Sons|
|Copyright Statement:||The definite version is available on publication at www3.interscience.wiley.com|
|Deposited On:||31 Oct 2005|
|Last Modified:||05 Jan 2011 23:25|
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