Volatility Spillovers Between South Asian Stock Markets
Author | : Yeshan Withanage |
Publisher | : |
Total Pages | : 16 |
Release | : 2018 |
ISBN-10 | : OCLC:1304409038 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Volatility Spillovers Between South Asian Stock Markets written by Yeshan Withanage and published by . This book was released on 2018 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the existence, magnitude and direction of volatility spillovers between the Sri Lankan stock market and two other major stock markets in the South Asian region: India and Pakistan. Main stock indices of Sri Lanka, India, and Pakistan are employed as proxies to represent stock markets of each country. Daily data over the period 2nd January 2004 to 23rd September 2014 is used for estimations. Volatility spillovers are modeled through a trivariate BEKK - GARCH (1, 1) model to capture the cross-market effects. There exist bilateral intraday volatility spillovers between Sri Lanka and both markets. It is evident that the intraday effect from Pakistan to Sri Lanka is stronger than the same effect from India to Sri Lanka. However, with respect to overnight volatility spillovers, there is only a unilateral spillover effect from Sri Lanka to India. Evidence for the presence of volatility spillovers between these three South Asian economies makes the tasks of monetary policy makers, investors and fund managers more complicated than they would otherwise have been.