An Investigation of Return and Volatility Linkages Among Stock Markets PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download An Investigation of Return and Volatility Linkages Among Stock Markets PDF full book. Access full book title An Investigation of Return and Volatility Linkages Among Stock Markets by Roni Bhowmik. Download full books in PDF and EPUB format.
Author: Roni Bhowmik Publisher: ISBN: Category : Languages : en Pages : 29
Book Description
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.
Author: Roni Bhowmik Publisher: ISBN: Category : Languages : en Pages : 29
Book Description
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.
Author: Giorgio Canarella Publisher: ISBN: 9781608764983 Category : Stock exchanges Languages : en Pages : 0
Book Description
This research explores the dynamic linkages that portray different facets of the joint probability distribution of stock market returns in the North American Free Trade Area (NAFTA) -- Canada, Mexico, and the US. Our examination of interactions of the NAFTA stock markets considers three issues. First, the authors examine the long-run relationship between the three markets, using cointegration techniques. Second, they evaluate the dynamic relationships between the three markets, using impulse-response analysis. Finally, they explore the volatility transmission process between the three markets, using a multivariate generalised auto-regressive conditional heteroskedasticity model. The results exhibit significant volatility transmission between the second moments of the NAFTA stock markets. The magnitude and trend of the conditional correlations indicate that in the last few years, Mexico's stock market exhibited a tendency toward increased integration with the US market. Finally, the authors discuss the evidence that exists on the Peso and Asian financial crises as well as the stock-market crash in the US which has affected the return and volatility time-series relationships.
Author: Hung Ngo Publisher: ISBN: Category : Languages : en Pages : 16
Book Description
Purpose - This paper aims to study the daily returns and volatility spillover effects in common stock prices between China and four countries in Southeast Asia (Vietnam, Thailand, Singapore and Malaysia).Design/methodology/approach - The analysis uses a vector autoregression with a bivariate GARCHBEKK model to capture return linkage and volatility transmission spanning the period including the pre- and post-2008 Global Financial Crisis.Findings - The main empirical result is that the volatility of the Chinese market has had a significant impact on the other markets in the data sample. For the stock return, linkage between China and other markets seems to be remarkable during and after the Global Financial Crisis. Notably, the findings also indicate that the stock markets are more substantially integrated into the crisis.Practical implications - The results have considerable implications for portfolio managers and institutional investors in the evaluation of investment and asset allocation decisions. The market participants should pay more attention to assess the worth of across linkages among the markets and their volatility transmissions. Additionally, international portfolio managers and hedgers may be better able to understand how the volatility linkage between stock markets interrelated overtime; this situation might provide them benefit in forecasting the behavior of this market by capturing the other market information.Originality/value - This paper would complement the emerging body of existing literature by examining how China stock market impacts on their neighboring countries including Vietnam, Thailand, Singapore and Malaysia. Furthermore, this is the first investigation capturing return linkage and volatility spill over between China market and the four Southeast Asian markets by using bivariate VAR-GARCH-BEKK model. The authors believe that the results of this research's empirical analysis would amplify the systematic understanding of spillover activities between China stock market and other stock markets.
Author: Bhaskar Bagchi Publisher: Emerald Group Publishing ISBN: 1786355531 Category : Business & Economics Languages : en Pages : 225
Book Description
This book examines the dynamic relationship and volatility spillovers between crude oil prices, exchange rates and stock markets of emerging economies. Unfortunately very little research has been conducted to analyze the volatility spillovers and dynamic relationship between crude oil prices, exchange rates and stock markets of India.
Author: Prashant Mahesh Joshi Publisher: ISBN: Category : Languages : en Pages : 8
Book Description
The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China, Jakarta, and Korea using a six-variable asymmetric generalized autoregressive conditional heteroscedasticity-Baba, Engle, Kraft, and Kroner (GARCH-BEKK) model during February 2, 2007, to February 29, 2010. The author finds evidence of bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low indicating weak integration of Asian stock markets. The study finds that own volatility spillover is higher than cross-market spillover. The overall persistence of stock market volatility is highest for Japan (0.931) and lowest for China (0.824). The implication of weak integration is that investors will benefit from reduction of diversifiable risk.
Author: Greg N. Gregoriou Publisher: CRC Press ISBN: 1420099558 Category : Business & Economics Languages : en Pages : 654
Book Description
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Author: Dirk G. Baur Publisher: ISBN: Category : Languages : en Pages :
Book Description
This study investigates the contemporaneous correlation and the spillover effects between the US and the German stock markets around the opening of the two markets. It is based on a newly compiled sample of intra-day data for the two blue chip indices, the Dow Jones Industrial Average (DOW) and the Deutsche Aktienindex (DAX). Our main findings are as follows: foreign daytime returns can significantly influence the domestic overnight returns; this holds for both the US and the German market; there is no evidence of spillovers from the previous daytime returns in the US to the DAX morning trading; short-lived mean spillovers, especially from the DAX noon-to-3:30 pm (CET) segment into the DOW, can be identified; and the uncritical use of the DAX opening quote is very likely to produce spurious results due to institutional peculiarities. To avoid this problem we propose a proxy for the DAX opening that appears satisfactory.
Author: Suk-Joong Kim Publisher: ISBN: Category : Languages : en Pages : 33
Book Description
This paper investigates the nature of the stock market linkages in the advanced Asia-Pacific stock markets of Australia, Hong Kong, Japan and Singapore with the U.S and the information leadership of the U.S. and Japan in the region since the early 1990s. It has been found that both the contemporaneous return and volatility linkages were significant and tended to be more intense after the 1997 Asian crisis period. However, the investigation of the dynamic information spillover effects in terms of returns, volatility and trading volume from the U.S. and Japan did not produce such time-varying influence. In general, significant dynamic information spillover effects from the U.S. were found in all the Asia-Pacific markets, but the Japanese information flows were relatively weak and the effects were country specific.
Author: Shigeyuki Hamori Publisher: Springer Science & Business Media ISBN: 1441992081 Category : Business & Economics Languages : en Pages : 140
Book Description
An Empirical Investigation of Stock Markets: The CCF Approach attempts to make an empirical contribution to the literature on the movements of stock prices in major economies, i.e. Germany, Japan, the UK and the USA. Specifically, the cross-correlation function (CCF) approach is used to analyze the stock market. This volume provides some empirical evidence regarding the economic linkages among a group of different countries. Chapter 2 and Chapter 3 analyze the international linkage of stock prices among Germany, Japan, the UK and the USA. Chapter 2 applies the standard approach, whereas Chapter 3 uses the CCF approach. Chapter 4 analyzes the relationship between stock prices and exchange rates. Chapter 5 analyzes the relationship among stock prices, exchange rates, and real economic activities. Chapter 6 summarizes the main results obtained in each chapter and comments on the possible directions of future research.
Author: Roni Bhowmik
Author: Roni Bhowmik
Author: Giorgio Canarella
Author: Hung Ngo
Author: R. Conolly
Author: Bhaskar Bagchi
Author: Prashant Mahesh Joshi
Author: Greg N. Gregoriou
Author: Dirk G. Baur
Author: Suk-Joong Kim
Author: Shigeyuki Hamori