The Journal of Finance and Data Science · 2017 · 90 citations · 29 references
BusinessEconomicsFinanceEconometricsFinancial EconomicsFinancial MarketsFinancial CrisesInternational Financial IntegrationInternational Financial MarketsStock MarketsVolatility AnalysisVolatility ModelingAsymmetric Volatility ModelsFinancial Market VolatilityInternational Financial SpilloversMarket Volatility EffectsSpillover Effect AnalysisSpillover Effect EstimationTime Series Volatility ModelingTime-varying Volatility Models
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.
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Testing for a unit root in time series regression
Peter C.B. Phillips, Pierre Perrón · Biometrika · 1988 · 17.9K citations