QUT ePrints

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.

View at publisher

Abstract

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.

Impact and interest:

42 citations in Scopus
Search Google Scholar™
17 citations in Web of Science®

Citation countsare sourced monthly from Scopus and Web of Science® citation databases.

These databases contain citations from different subsets of available publications and different time periods and thus the citation count from each is usually different. Some works are not in either database and no count is displayed. Scopus includes citations from articles published in 1996 onwards, and Web of Science® generally from 1980 onwards.

Citations counts from the Google Scholar™ indexing service can be viewed at the linked Google Scholar™ search.

Full-text downloads:

1,914 since deposited on 31 Oct 2005
526 in the past twelve months

Full-text downloadsdisplays the total number of times this work’s files (e.g., a PDF) have been downloaded from QUT ePrints as well as the number of downloads in the previous 365 days. The count includes downloads for all files if a work has more than one.

ID Code: 2316
Item Type: Journal Article
Keywords: Emerging markets, market integration, volatility, spillover
DOI: 10.1002/ijfe.222
ISSN: 1099-1158
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

Export: EndNote | Dublin Core | BibTeX

Repository Staff Only: item control page