scholarly journals Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets

2014 ◽  
Vol 20 (2) ◽  
pp. 155-177 ◽  
Author(s):  
Yanan Li ◽  
David E. Giles
Keyword(s):  
Stock Markets ◽  
Spillover Effects ◽  
Volatility Spillover ◽  
Emerging Stock Markets ◽  
Developed Stock Markets

Nexus between Southeast Asian stock markets, bitcoin and gold: spillover effect before and during the COVID-19 pandemic

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Yosuke Kakinuma
Keyword(s):  
Southeast Asia ◽  
Stock Markets ◽  
Spillover Effect ◽  
Spillover Effects ◽  
Southeast Asian ◽  
Series Data ◽  
Financial Assets ◽  
Volatility Spillover ◽  
Content Type ◽  
Asset Classes

Purpose This study aims to provide empirical evidence on the return and volatility spillover effects between Southeast Asian stock markets, bitcoin and gold in the periods before and during the COVID-19 pandemic. The interdependence among different asset classes, the two leading stock markets in Southeast Asia (Singapore and Thailand), bitcoin and gold, is analyzed for diversification opportunities. Design/methodology/approach The vector autoregressive-Baba, Engle, Kraft, and Kroner-generalized autoregressive conditional heteroskedasticity model is used to capture the return and volatility spillover effects between different financial assets. The data cover the period from October 2013 to May 2021. The full period is divided into two sub-sample periods, the pre-pandemic period and the during-pandemic period, to examine whether the financial turbulence caused by COVID-19 affects the interconnectedness between the assets. Findings The stocks in Southeast Asia, bitcoin and gold become more interdependent during the pandemic. During turbulent times, the contagion effect is inevitable regardless of region and asset class. Furthermore, bitcoin does not provide protection for investors in Southeast Asia. The pricing mechanism and technology behind bitcoin are different from common stocks, yet the results indicate the co-movement of bitcoin and the Singaporean and Thai stocks during the crisis. Finally, risk-averse investors should ensure that gold constitutes a significant proportion of their portfolio, approximately 40%–55%. This strategy provides the most effective hedge against risk. Originality/value The mean return and volatility spillover is analyzed between bitcoin, gold and two preeminent stock markets in Southeast Asia. Most prior studies test the spillover effect between the same asset classes such as equities in different regions or different commodities, currencies and cryptocurrencies. Moreover, the time-series data are divided into two groups based on the structural break caused by the COVID-19 pandemic. The findings of this study offer practical implications for risk management and portfolio diversification. Diversification opportunities are becoming scarce as different financial assets witness increasing integration.

scholarly journals How to Measure Illiquidity on European Emerging Stock Markets?

2014 ◽  
Vol 5 (3) ◽  
pp. 67-81
Author(s):  
Jelena Vidović ◽  
Tea Poklepović ◽  
Zdravka Aljinović
Keyword(s):  
Emerging Markets ◽  
Stock Markets ◽  
Portfolio Investment ◽  
Turn On ◽  
Emerging Stock Markets ◽  
Illiquid Markets ◽  
Developed Stock Markets ◽  
Relative Change ◽  
Real Challenge ◽  
Daily Returns

Abstract Background: Liquidity is, in practice of portfolio investment, an important attribute of stocks and measuring illiquidity presents a real challenge for researchers, primarily on developed stock markets. Moreover, there is a lack of research dealing with (il)liquidity on emerging markets. In the paper, the problem of applicability and validity of two well-known illiquidity measures, ILLIQ and TURN, on European emerging markets is observed. Objectives: The paper has two main purposes. The first is to test the relative performance of the two selected illiquidity measures in terms of their validity on European emerging stock markets. The second is to propose a new and improved illiquidity measure named Relative Change in Volume (RCV). Methods/Approach: Using daily returns and traded volumes for 12 stocks which are constituents of stock indices on seven observed markets, ILLIQ and TURN along with the new proposed measure are calculated and tested based on correlation with return. All measures are tested and proposed using the single stock approach. Results: It is shown that ILLIQ and TURN are not appropriate for seven observed markets. The measures do not follow the obligatory request that returns increase in illiquidity while RCV has the ability of taking into account the pressure of big differences in volume on return. RCV gives satisfactory results, making clear the distinction between liquid and illiquid stocks and between liquid and illiquid markets. Conclusions: The proposed measure potentially has important implications in illiquidity measurement in general, and not only for investors on emerging stock markets.

Volatility spillovers among G7, E7 stock markets and cryptocurrencies

2022 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Berna Aydoğan ◽  
Gülin Vardar ◽  
Caner Taçoğlu
Keyword(s):  
Financial Market ◽  
Portfolio Management ◽  
Stock Markets ◽  
Negative Impact ◽  
Spillover Effects ◽  
Volatility Spillover ◽  
Content Type ◽  
Volatility Spillovers ◽  
Dynamic Relationship ◽  
The Stability

PurposeThe existence of long memory and persistent volatility characteristics of cryptocurrencies justifies the investigation of return and volatility/shock spillovers between traditional financial market asset classes and cryptocurrencies. The purpose of this paper is to investigate the dynamic relationship between the cryptocurrencies, namely Bitcoin and Ethereum, and stock market indices of G7 and E7 countries to analyze the return and volatility spillover patterns among these markets by means of multivariate (MGARCH) approach.Design/methodology/approachApplying the newly developed VAR-GARCH-in mean framework with the BEKK representation, the empirical results reveal that there exists an evidence of mean and volatility spillover effects among Bitcoin and Ethereum as the proxies for the cryptocurrencies, and stock markets reviewed.FindingsInterestingly, the direction of the return and volatility spillover effects is unidirectional in most E7 countries, but bidirectional relationship was found in most G7 countries. This can be explained as the presence of a strong return and volatility interaction among G7 stock markets and crypto market.Originality/valueOverall, the results of this study are of particular interest for portfolio management since it provides insights for financial market participants to make better portfolio allocation decisions. It is also increasingly important to understand the volatility transmission mechanism across these markets to provide policymakers and regulatory bodies with guidance to eliminate the negative impact of cryptocurrency's volatility on the stability of financial markets.

scholarly journals THE INVESTIGATION OF VOLATILITY SPILLOVER EFFECT BETWEEN STOCK MARKETS OF TURKEY, ITALY, GREECE AND RUSSIA

2020 ◽  
Vol 8 (2) ◽  
pp. 1576-1598
Author(s):  
Murat BERBEROĞLU
Keyword(s):  
Heat Wave ◽  
Stock Markets ◽  
Spillover Effect ◽  
Spillover Effects ◽  
Meteor Shower ◽  
Volatility Spillover ◽  
Short Term ◽  
Volatility Spillover Effect

In this study, the volatility spillover effects in stock markets of various countries are examined. Volatility spillover effect occurs in two forms as heat wave and meteor shower in literature. From this point to these two effects were investigated in stock markets of Turkey, Italy, Russia and Greece. In the research, cointegration, ARCH-LM, VAR, and finally VAR-MGARCH analyzes were used. According to the results of the analysis, it was concluded that the volatility spillover effect is effective in all stock markets. Also, it was determined that more meteor shower hypothesis is more effective when the time was extended, although heat wave hypothesis is effective in the short term.                         

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 INVESTIGATING ABNORMAL VOLATILITY TRANSMISSION PATTERNS BETWEEN EMERGING AND DEVELOPED STOCK MARKETS: A CASE STUDY

2020 ◽  
Vol 21 (6) ◽  
pp. 1561-1592
Author(s):  
Cristi Spulbar ◽  
Jatin Trivedi ◽  
Ramona Birau
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Stock Markets ◽  
Financial Integration ◽  
Global Financial Crisis ◽  
Spillover Effects ◽  
Garch Models ◽  
Asymmetric Garch ◽  
Developed Stock Markets ◽  
The Impact

The main aim of this paper is to investigate volatility spillover effects, the impact of past volatility on present market movements, the reaction to positive and negative news, among selected financial markets. The sample stock markets are geographically dispersed on different continents, respectively North America, Europe and Asia. We also investigate whether selected emerging stock markets capture the volatility patterns of developed stock markets located in the same region. The empirical analysis is focused on seven developed stock market indices, i.e. IBEX35 (Spain), DJIA (USA), FTSE100 (UK), TSX Composite (Canada), NIKKEI225 (Japan), DAX (Germany), CAC40 (France) and five emerging stock market indices, i.e. BET (Romania), WIG20 (Poland), BSE (India), SSE Composite (China) and BUX (Hungary) from January 2000 to June 2018. The econometric framework includes symmetric and asymmetric GARCH models i.e. EGARCH and GJR which are performed in order to capture asymmetric volatility clustering, interdependence, correlations, financial integration and leptokurtosis. Symmetric and asymmetric GARCH models revealed that all selected financial markets are highly volatile, including the presence of leverage effect. The stock markets in Hungary, USA, Germany, India and Canada exhibit high positive volatility after global financial crisis.

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