Tracing dynamic linkages and spillover effect between Pakistani and leading foreign stock markets

The subprime mortgage crisis in the U.S. in mid-2008 suggests that stock prices volatility do spillover from one market to another after international stock markets downturn. The purpose of this paper is to examine the magnitude of return and volatility spillovers from developed markets (the U.S. and Japan) to eight emerging equity markets (India, China, Indonesia, Korea, Malaysia, the Philippines, Taiwan, Thailand) and Vietnam. Employing a mean and volatility spillover model that deals with the U.S. and Japan shocks and day effects as exogenous variables in ARMA(1,1), GARCH(1,1) for Asian emerging markets, the study finds some interesting findings. Firstly, the day effect is present on six out of nine studied markets, except for the Indian, Taiwanese and Philippine. Secondly, the results of return spillover confirm significant spillover effects across the markets with different magnitudes. Specifically, the U.S. exerts a stronger influence on the Malaysian, Philippine and Vietnamese market compared with Japan. In contrast, Japan has a higher spillover effect on the Chinese, Indian, Korea, and Thailand than the U.S. For the Indonesian market, the the return effect is equal. Finally, there is no evidence of a volatility effect of the U.S. and Japanese markets on the Asian emerging markets in this study.

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Dynamic Linkages Between the Greater China Economic Area Stock Markets—Mainland China, Hong Kong, and Taiwan

Review of Quantitative Finance and Accounting ◽

10.1007/s11156-005-7017-7 ◽

2005 ◽

Vol 24 (4) ◽

pp. 343-357 ◽

Cited By ~ 46

Author(s):

Hwahsin Cheng ◽

John L. Glascock

Keyword(s):

Hong Kong ◽

Stock Markets ◽

Mainland China ◽

Greater China ◽

Economic Area ◽

Dynamic Linkages

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

Journal of Asia Business Studies ◽

10.1108/jabs-02-2021-0050 ◽

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.

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COMPARING THE IMPACTS OF OIL PRICE SHOCKS ACROSS STOCK MARKETS

Jurnal Teknologi ◽

10.11113/jt.v77.6543 ◽

2015 ◽

Vol 77 (20) ◽

Author(s):

Siok Kun Sek ◽

Zhan Jian Ng ◽

Wai Mun Har

Keyword(s):

Stock Returns ◽

Stock Markets ◽

Spillover Effect ◽

Spillover Effects ◽

Oil Price ◽

Multivariate Garch ◽

Oil Price Shocks ◽

Price Shocks ◽

Long Run ◽

Short Run

We conduct empirical analyses on comparing the spillover effects of oil price shocks on the volatility of stock returns between oil importing and oil exporting countries. In particular, we seek to study how the nature of oil price shocks differs due to the oil dependency factor and how the stock markets react to such shocks. Applying the multivariate GARCH-BEKK(1,1) model, our results detect spillover effects between crude oil price and stock returns for all countries. The short run persistencies of shocks are smaller but the persistencies of shocks are very high in the long run. The results hold for both groups of countries. The results imply larger spillover effect from oil price shock into stock market in the oil importing countries.

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