Eurozone Crisis and Asymmetric Volatility Spillover between the Stock Markets of Selected Emerging Asian and Developed Economies
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.
- Bangash, R., Khan, F., and Jabeen, Z. (2018). Size, value and momentum in Pakistan equity market: Size and liquidity exposures. Global social Sciences Review, 3(1), 376-394.
- Bhunia, A., & Yaman, D. (2017). Is there a causal relationship between financial markets in Asia and the US? The Lahore Journal of Economics, 22, 71-90.
- Baele, L. (2005). Volatility spillover effects in European equity markets. Journal of Financial and Quantitative Analysis, 40, 373-401.
- Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307-327.
- Bhar, R. (2001). Return and volatility dynamics in the spot and futures markets in Australia: an intervention analysis in a bivariate EGARCH-X framework. Journal of Futures Markets, 21, 833-850.
- Bekaert, G., & Harvey, C.R. (1997). Emerging equity market volatility. Journal of Financial Economics, 43, 29-77.
- Engle, R.F., & Susmel, R. (1993). Common volatility in international equity markets. Journal of Business & Economic Statistics, 11, 167-176.
- Eun, C.S., & Shim, S. (1989). International transmission of stock market movements. Journal of Financial and Quantitative Analysis, 24, 241-256
- Engle, R. F., & Granger, C. W. J. (1987). Cointegration and error correction: representation, estimation and testing. Econometrica, 55, 251-276.
- Engle, R. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50, 987-1008.
- Hamao, Y., Masulis, R.W., & Ng, V. (1990). Correlations in price changes and volatility across international stock markets. Review of Financial Studies, 3, 281-307.
- Hassan, T., Nassir, B.N., & Mohamad, S. (2006). The heat waves or meteor showers hypothesis: Test on selected Asian emerging and developed stock markets. Investment Management and Financial Innovations, 3(1), 120-131.
- Issam, C., Achraf, G., & Boujelbene, Y. (2013). Volatility spillover and channels transmission during subprime crisis: empirical study of USA stock market and other developed stock markets. Journal of Applied Economic Sciences, 1, 7-21.
- Jebran, K., & Iqbal, A. (2016). Examining volatility spillover between Asian countries' stock markets. China Finance and Economic Review, 4, 1-13.
- Jebran, K. (2014). Dynamic Linkages between Asian Countries Stock Markets: Evidence from Karachi Stock Exchange. Research Journal of Management Sciences, 3(5), 6-13.
- Joshi, A. (2013). Do they work? Assessing the impact of transparency and accountability initiatives in service delivery. Development Policy Review, 31, 29-48.
- Kayani, S., Ayub, U., & Jadoon, A. A. (2019). Adaptive Market Hypothesis and Artificial Neural Networks: Evidence from Pakistan. Global Regional Review, 4(2), 190-203.
- Li, Y., & Giles, D.E. (2015). Modelling volatility spillover effects between developed stock markets and Asian emerging stock markets. International Journal of Finance & Economics, 20, 155- 177.
- Lin, W.L., Engle, R.F., & Ito, T. (1994). Do bulls and bears move across borders? International transmission of stock returns and volatility. Review of Financial Studies, 7, 507-538.
- Mitra, A., Iyer, V., & Joseph, A. (2015). Characterizing the volatility transmission across international stock markets. Theoretical Economics Letters, 5, 571-583.
- Mohammadi, H., & Tan, Y. (2015). Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States. Econometrics, 3, 215-232.
- Nelson, D.B. (1991). Conditional heteroscedasticity in asset returns: A new approach. Econometrica, 59, 347-370.
- Oluseyi, A, S. (2015). An empirical investigation of the relationship between stock market prices volatility and macroeconomic variables' volatility in Nigeria. European Journal of Academic Essays, 2(11), 1-12.
- Qayyum, A., & Khan, M, A. (2017). Dynamic relationship and volatility spillover between the stock market and the foreign exchange market in Pakistan: Evidence from VAR-EGARCH modelling. Pide Working Papers, no: 103.
- Rehman, S. U., Khan, I., & Malik, M. F. (2018). The Impact of Political Activities on PSX: The Evidence from Pakistan. Global Economics Review, 3(2), 55-66.
- Shamiri, A., and Isa, Z. (2009). The US crisis and the volatility spillover across south East Asia stock markets. International Research Journal of Finance and Economics, 34, 7-17.
- Santis, G. (1997). Stock returns and volatility in emerging financial markets. Journal of International Money and Finance, 16, 561-579.
- Tiwari, A., Bhanja, N., & Dar, A. (2015). Uncertainty co-movement in major European countries. Theoretical Economics Letters, 5, 256-261.
- Yarovaya, L., Brzeszczyński, J., & Lau, C. K. M. (2015). Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures. International Review of Financial Analysis, 43, 96-114.
- Zafar, N., Urooj, S. F. & Durrani, T. K. (2008). Interest rate volatility and stock return and volatility. European journal of economics, finance and administrative sciences, 14, 135-140.
Cite this article
-
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 : 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 : 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 : 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 : 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 : 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 : 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