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EUROZONE CRISIS AND ASYMMETRIC VOLATILITY SPILLOVER BETWEEN THE STOCK MARKETS OF SELECTED EMERGING ASIAN AND DEVELOPED ECONOMIES

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41 Pages : 399 ‒ 409

http://dx.doi.org/10.31703/gssr.2020(V-I).41      10.31703/gssr.2020(V-I).41      Published : Mar 1

Eurozone Crisis and Asymmetric Volatility Spillover between the Stock Markets of Selected Emerging Asian and Developed Economies

Abstract

    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.

    EGARCH, Eurozone Crisis, Emerging Economies, Developed Economies, Volatility Spillover, VECM.

    (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.
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Cite this article

APA

    APA : Hussain, M., Awan, R. U., & Hassan, H. (2020). Eurozone Crisis and Asymmetric Volatility Spillover between the Stock Markets of Selected Emerging Asian and Developed Economies. Global Social Sciences Review, V(I), 399 ‒ 409. https://doi.org/10.31703/gssr.2020(V-I).41

CHICAGO

    CHICAGO : Hussain, Muzammil, Rehmat Ullah Awan, and Hammad Hassan. 2020. "Eurozone Crisis and Asymmetric Volatility Spillover between the Stock Markets of Selected Emerging Asian and Developed Economies." Global Social Sciences Review, V (I): 399 ‒ 409 doi: 10.31703/gssr.2020(V-I).41

HARVARD

    HARVARD : HUSSAIN, M., AWAN, R. U. & HASSAN, H. 2020. Eurozone Crisis and Asymmetric Volatility Spillover between the Stock Markets of Selected Emerging Asian and Developed Economies. Global Social Sciences Review, V, 399 ‒ 409.

MHRA

    MHRA : Hussain, Muzammil, Rehmat Ullah Awan, and Hammad Hassan. 2020. "Eurozone Crisis and Asymmetric Volatility Spillover between the Stock Markets of Selected Emerging Asian and Developed Economies." Global Social Sciences Review, V: 399 ‒ 409

MLA

    MLA : Hussain, Muzammil, Rehmat Ullah Awan, and Hammad Hassan. "Eurozone Crisis and Asymmetric Volatility Spillover between the Stock Markets of Selected Emerging Asian and Developed Economies." Global Social Sciences Review, V.I (2020): 399 ‒ 409 Print.

OXFORD

    OXFORD : Hussain, Muzammil, Awan, Rehmat Ullah, and Hassan, Hammad (2020), "Eurozone Crisis and Asymmetric Volatility Spillover between the Stock Markets of Selected Emerging Asian and Developed Economies", Global Social Sciences Review, V (I), 399 ‒ 409

TURABIAN

    TURABIAN : Hussain, Muzammil, Rehmat Ullah Awan, and Hammad Hassan. "Eurozone Crisis and Asymmetric Volatility Spillover between the Stock Markets of Selected Emerging Asian and Developed Economies." Global Social Sciences Review V, no. I (2020): 399 ‒ 409. https://doi.org/10.31703/gssr.2020(V-I).41