Volatility Linkages Among India Hong Kong And Singapore Stock Markets

Download or read book Volatility Linkages among India, Hong Kong and Singapore Stock Markets written by Nikolaos Sariannidis and published by . This book was released on 2010 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the volatility linkages among three Asian stock exchange markets, namely India, Singapore and Hong Kong, during the period July 1997 to October 2005. We use a multivariate GARCH model to identify the source and magnitude of spillovers. The empirical analysis showed that the markets exhibit a strong GARCH effect and are highly integrated reacting to information which influence not only the mean returns but their volatility as well.