Roni Bhowmik1; Abbas Ghulam2
Source Publicationjournalofsystemsscienceandinformation
AbstractThis paper examines the extent of contagion and interdependence across the six Asian emerging countries stock markets (e.g., Bangladesh, China, India, Malaysia, the Philippine, and South Korea) and then try to quantify the extent of the Asian emerging market fluctuations which are described by intra-regional contagion effect. These markets experienced both fast growth and key upheaval during the sample period, and thus, provide potentially rich information on the nature of border market interactions. Using the daily stock market index data from January 2002 to December 2016 (breaking the 15 years data set into three sub periods; pre-crisis, crisis, and post crisis periods); particularly make attention to the global financial crisis of 2007~2008. The return and volatility spillovers are modeled through the GARCH (generalized autoregressive conditional heteroscedasticity), pairwise Granger causality tests, and the forecast error variance decomposition in a generalized VAR (vector auto regression) models. This paper shows that volatility and return spillovers behave very differently over time, during the pre-crisis, crisis, and post crisis periods. Importantly, Asian emerging stock markets interaction is less before the global financial crisis period. The return and volatility spillover indices touch their respective historical peaks during the global financial crisis 2007~2008, however Bangladeshi market faces this condition in 2009~2010.
Document Type期刊论文
Recommended Citation
GB/T 7714
Roni Bhowmik,Abbas Ghulam. returnandvolatilityspilloverseffectsstudyofasianemergingstockmarkets[J]. journalofsystemsscienceandinformation,2018,6(2):97.
APA Roni Bhowmik,&Abbas Ghulam.(2018).returnandvolatilityspilloverseffectsstudyofasianemergingstockmarkets.journalofsystemsscienceandinformation,6(2),97.
MLA Roni Bhowmik,et al."returnandvolatilityspilloverseffectsstudyofasianemergingstockmarkets".journalofsystemsscienceandinformation 6.2(2018):97.
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