An Investigation Of Return And Volatility Linkages Among Stock Markets

Download or read book An Investigation of Return and Volatility Linkages Among Stock Markets written by Roni Bhowmik and published by . This book was released on 2019 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article investigates returns and volatility linkages among stock markets, including emerging Asian (e.g., India, China, Bangladesh, Malaysia, Philippine, and South Korea) stock markets and developed (e.g., United States, United Kingdom, Japan, and Singapore) stock markets. During the sample period, these emerging markets have experienced both rapid growth and major turmoil. Firstly, the Generalized Autoregressive Conditional Heteroskedastic (GARCH) family models are used, and the correlation in conditional variances is calculated to show the relationship in the volatilities of the returns in these markets. Then, the cross-correlation function tests are conducted to investigate the causality patterns of the stock returns and volatility. Finally, the Vector Autoregressive (VAR) model is used to study the transmission dynamics in the presence of unexpected shocks. The evidence suggests that both the returns and volatility linkages exist between the emerging Asia and the developed stock markets. From causality test, it is found that both returns and return variances linkages exist between the emerging Asian and selected developed countries. Nevertheless United States influences the other countries most on both the mean and variance patterns. In addition, the volatilities to unexpected shocks in various markets, especially, come from neighboring country markets and more developed country markets.