Does volatility spillover among stock markets varies from normal to turbulent periods? Evidence from emerging markets of Asia

Khalil Jebran, Shihua Chen, Irfan Ullah, Sultan Sikandar Mirza

The Journal of Finance and Data Science · 2017 · 90 citations · 29 references

DOIFull text

Open access

Concepts

Abstract

This study investigates the volatility spillover effect among Asian emerging markets in pre and post 2007 financial crisis period. The sample includes five emerging markets of Asia named; China, Pakistan, Hong Kong, Sri Lanka, and India. The asymmetric volatility spillover among the stock markets is examined using an extended EGARCH model. The results highlight certain interesting key findings. We find bidirectional volatility spillover between stock markets of India and Sri Lanka in both sub-periods. However the volatility spillover is bidirectional between stock markets of Hong Kong and India; Pakistan and India in pre-crisis period, while in stock markets of Sri Lanka and Pakistan in post-crisis period. The integration of emerging markets of Asia has important implications for investors and policy makers.

References

29