Volatility Spillover Effects across Emerging Equity Markets of Pakistan, India, China and Bangladesh: A Multivariate GARCH-BEKK and CCC Approach

2017 ◽  
Author(s):  
Kashif Hamid ◽  
Arshad Hasan ◽  
Muhammad Tahir Suleman ◽  
Muhammad Usman Khurram
Keyword(s):  
Equity Markets ◽  
Spillover Effects ◽  
Multivariate Garch ◽  
Volatility Spillover

RETURN AND VOLATILITY SPILLOVER EFFECTS IN LEADING CRYPTOCURRENCIES

2019 ◽  
Vol 19 (03) ◽  
pp. 1950017 ◽  
Author(s):  
SRINIVASAN PALAMALAI ◽  
BIPASHA MAITY
Keyword(s):  
Spillover Effects ◽  
Multivariate Garch ◽  
Portfolio Diversification ◽  
Volatility Spillover ◽  
Short Term ◽  
Vector Error Correction ◽  
New Class ◽  
Vector Error ◽  
Multivariate Garch Model ◽  
Wide Range

As Cryptocurrencies are emerging as a new class of investment assets, understanding their price and volatility dynamics has begun to gather momentum, especially the volatility can influence investment decisions. Most of previous literature concentrates primarily on several aspects of Bitcoin and endeavoring to generalize them for the whole cryptocurrency markets. In this study, we attempted to examine the return and volatility spillover effects across a wide range of cryptocurrency markets, i.e. eight major cryptocurrencies (determined by market capitalization) using a Vector Error Correction approach and Diagonal BEKK Multivariate GARCH model. We found the evidence of interdependencies and volatility co-movements among the various pairs of cryptocurrency markets. However, the study suggests that there exists a limited window of opportunity for the short-term portfolio diversification benefits from the selected large-cap cryptocurrency markets.

Volatility spillover from crude oil and gold to BRICS equity markets

2018 ◽  
Vol 45 (2) ◽  
pp. 426-440 ◽  
Author(s):  
Vikas Pandey ◽  
Vipul Vipul
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Stock Markets ◽  
Equity Markets ◽  
Multivariate Garch ◽  
Volatility Spillover ◽  
Conditional Correlation ◽  
Price Shocks ◽  
Content Type ◽  
Dynamic Relationship

Purpose The purpose of this paper is to investigate the volatility spillover from crude oil and gold to the BRICS stock markets, after removing the effect of co-movement of prices of crude oil and gold. Design/methodology/approach Three multivariate GARCH models (dynamic conditional correlation, constant conditional correlation, and Baba, Engle, Kraft and Kroner) are used to capture the dynamic relationship between the crude oil and gold returns. The innovations from gold and oil are orthogonalized, and the EGARCH model is employed for the spillover analysis. The influences of oil price shocks and gold price shocks are tested on the returns of each of the BRICS equity markets. Findings There is evidence of volatility spillover from both the crude oil and gold to the BRICS stock markets. A sub-sample analysis suggests that the volatility spillover from gold was not significant before the financial crisis of 2008, but became significant post-crisis. The volatility asymmetry, which was not significant before the crisis, also became significant after it. Originality/value This study examines the volatility spillover to the BRICS stock markets from crude oil and gold, after accounting for the co-movement in their prices. It can help equity investors to judge whether gold can provide incremental diversification benefit, if used in conjunction with crude oil. The study also provides insights into the changes caused by the 2008 financial crisis on this volatility spillover mechanism.

scholarly journals Emerging Markets and Volatility Spillover Effects: Empirical Evidence from Regional Emerging Economies of Pakistan, China, India, and Bangladesh

2020 ◽  
Vol V (I) ◽  
pp. 102-116
Author(s):  
Kashif Hamid ◽  
Muhammad Mudasar Ghafoor ◽  
Muhammad Yasir Saeed
Keyword(s):  
Emerging Markets ◽  
Empirical Evidence ◽  
Emerging Economies ◽  
Financial Economics ◽  
Spillover Effect ◽  
Spillover Effects ◽  
Multivariate Garch ◽  
Volatility Spillover ◽  
Significant Evidence ◽  
The Impact

Emerging markets and volatility spillover effects remained a highly focused area in the field of financial economics. Therefore, we have empirically testified the volatility spillover effects between markets of emerging economies i.e Pakistan, China, Bangladesh, and India during the period from 1st January 2000 to 31st December 2015. We used Multivariate GARCH and causality models to identify the spillover effects. It is concluded that there exists significant evidence of spillover effect from the market of Pakistan to India, India to China and from China to Pakistan. However, the larger negative shift in the volatility occurs more frequently than positive shocks. Hence it is concluded that the impact of own spillovers of the markets is much higher than the impact of cross-market spillovers during this period.

scholarly journals Volatility Linkages between Equity Markets of Pakistan, India, Singapore and Hong Kong: A GARCH BEKK Approach

2012 ◽  
Vol 4 (1) ◽  
pp. 47-54
Author(s):  
Muhammad Junaid Iqbal ◽  
Afsheen Abrar . ◽  
Nagina Jamil . ◽  
Abid Ali Shah . ◽  
AhsanulHaqSatti .
Keyword(s):  
Hong Kong ◽  
Stock Exchange ◽  
Equity Markets ◽  
Multivariate Garch ◽  
Volatility Spillover ◽  
Investment Portfolio ◽  
Conditional Mean ◽  
Time Index ◽  
Strait Time ◽  
Volatility Linkages

The purpose of current study is to explore the volatility linkages between four Asian equity markets, which arePakistan (Karachi Stock Exchange), India (Bombay Stock Exchange), Hong Kong (Hang Sang Index) and Singapore (Strait Time Index). We estimate Multivariate GARCH BEKK model using weekly returns from January 2000 to August 2011.Direct evidences of linkages are found among all markets with respect to conditional mean returns and volatility.Own volatility spillover is found greater than cross volatility spillover in all emerging and developed economies.The insinuation of this study is that overseas investors may take advantage from the decrease of uncertainty by accumulating the stocks in the emerging markets to their investment portfolio.

MEASURING VOLATILITY SPILLOVERS BETWEEN DEVELOPED AND SOUTHEAST ASIAN EMERGING STOCK MARKETS: A MULTIVARIATE GARCH APPROACH

2018 ◽  
Author(s):  
Anh Nguyễn Thị Hoàng ◽  
Huyền Trần Thị Thanh ◽  
Minh Huỳnh Ngọc Kim ◽  
Trân Nguyễn Thị Ngọc
Keyword(s):  
Emerging Markets ◽  
Stock Markets ◽  
Spillover Effects ◽  
The United States ◽  
Southeast Asian ◽  
Multivariate Garch ◽  
Volatility Spillover ◽  
Sample Analysis ◽  
Volatility Spillovers ◽  
Developed Markets

In this paper, we measure volatility spillovers among eleven stock markets, including five developed markets (the United States, Japan, Germany, the United Kingdom, Hong Kong) and six Southeast Asian developing markets (Indonesia, Malaysia, Philippines, Singapore, Thailand and Vietnam) over the 25-year period from January 1, 1993 to December 31, 2017. Employing the GARCH-DCC model and non-parametric sign tests on the correlations between developed markets and emerging markets, we find that correlations between developed markets and the Southeast Asian markets have risen sharply during periods of crisis, indicating the existence of volatility spillover effects from the developed markets to emerging ones. Full sample analysis suggests that volatility spillover from Japanese and the UK markets to the Southeast Asian emerging markets is stronger and more apparent than those transmitted from the US and Germany markets. Sub-sample analysis is able to identify the markets transmitting shocks to others. Results also suggest that Vietnam market is not fully integrated to the regional and global markets.

scholarly journals Volatility Spillovers between Equity and Green Bond Markets

2020 ◽  
Vol 12 (9) ◽  
pp. 3722 ◽  
Author(s):  
Daehyeon Park ◽  
Jiyeon Park ◽  
Doojin Ryu
Keyword(s):  
Equity Markets ◽  
Spillover Effects ◽  
The Other ◽  
Bond Markets ◽  
Volatility Spillover ◽  
Asymmetric Volatility ◽  
Volatility Spillovers ◽  
Financial Products ◽  
Return Dynamics ◽  
Positive Return

This study examines the market for green bonds, which have been in the spotlight as an eco-friendly investment product. We analyze the volatility dynamics and spillovers between the equity and green bond markets. As the return dynamics of financial products typically exhibit asymmetric volatility, we check whether green bonds also share this property. Our analyses confirm that although green bonds do exhibit the asymmetric volatility phenomenon, their volatility, unlike that of equity, is also sensitive to positive return shocks. An analysis of the association between the green bond and equity markets confirms that although the two markets have some volatility spillover effects, neither responds significantly to negative shocks in the other market.

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