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A multivariate GARCH analysis of equity returns and volatility in Asian equity markets: Discussion Paper No 89

Worthington, Andrew C. & Higgs, Helen (2001) A multivariate GARCH analysis of equity returns and volatility in Asian equity markets: Discussion Paper No 89. [Working Paper] (Unpublished)

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 and Thailand) are included in the analysis. A multivariate generalised 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 homogenous 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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ID Code: 555
Item Type: Working Paper
Additional URLs:
Keywords: Emerging equity markets, mean and volatility spillovers, multivariate GARCH
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Financial Economics (140207)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Copyright Owner: Copyright 2001 (Please consult author)
Deposited On: 11 Nov 2004
Last Modified: 02 Feb 2012 19:44

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