The study examines the volatility spillover between selected emerging Asian and developed
stock markets. Moreover, the study analyzes the impact of the financial crisis on volatility
spillover between the stock markets. This study used monthly observations for the period 2001-01 to 2017-12
on three emerging markets of Pakistan, China, India and three developed markets of Hong Kong, Japan and the
US. First, the asymmetric volatility transmission between the stocks is analyzed by extended EGARCH
representation. The study found the existence of asymmetric volatility spillovers throughout the financial crisis.
The researcher estimated the VECM granger causality test in the next step. The outcomes revealed existence of
bidirectional spillover between Pakistan and India, the US to Japan and Hong Kong. Unidirectional relationship
was found from Pakistan and the US to Hong Kong, India to the US and Hong Kong to China. Overall, the
results suggest a significant relationship between emerging and developed markets due to integration.
1-Muzammil Hussain PhD Scholar,Department of Economics,University of Sargodha, Punjab, Pakistan.2-Rehmat Ullah Awan Associate Professor, Department of Economics,University of Sargodha, Punjab, Pakistan.3-Hammad Hassan Assistant Professor,Department of NOON Business School, University of Sargodha, Punjab, Pakistan.
EGARCH, Eurozone Crisis, Emerging Economies, Developed Economies, Volatility Spillover, VECM.