DYNAMIC VOLATILITY SPILLOVER ACROSS STOCK MARKETS OF INDIA AND ITS TRADING PARTNERS- AN EMPIRICAL INVESTIGATION

2023 ◽  
Vol 1 (1) ◽  
pp. 1
Author(s):  
Ruchika Kaura ◽  
Namita Rajput
Keyword(s):  
Stock Markets ◽  
Empirical Investigation ◽  
Volatility Spillover ◽  
Trading Partners

scholarly journals Role of index futures on China's stock markets: Evidence from price discovery and volatility spillover

2017 ◽  
Vol 44 ◽  
pp. 13-26 ◽  
Author(s):  
Hong Miao ◽  
Sanjay Ramchander ◽  
Tianyang Wang ◽  
Dongxiao Yang
Keyword(s):  
Stock Markets ◽  
Price Discovery ◽  
Volatility Spillover ◽  
Index Futures

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.

Transmission of Volatility across Asia-Pacific Stock Markets: Is There a Pattern?

2016 ◽  
Vol 6 (1) ◽  
pp. 42-54 ◽  
Author(s):  
Amarnath Mitra ◽  
Vishwanathan Iyer
Keyword(s):  
Stock Markets ◽  
Asia Pacific ◽  
Pacific Region ◽  
Volatility Spillover ◽  
Asia Pacific Region ◽  
Volatility Transmission ◽  
International Stock Markets

The present study attempts to track the transmission of volatility across 11 international stock markets in the Asia-Pacific region over a period of 20 years, which includes both crisis (i.e., contagion form) and non-crisis periods. It also investigates whether the global transmission of volatility follows a pattern. The study contributes to the literature in two ways: (a) it provides a historical map of volatility transmission in the Asia-Pacific region and (b) it identifies the path and pattern of volatility spillover across stock markets in the Asia-Pacific region.

Volatility spillover between the US, Chinese and Australian stock markets

2017 ◽  
Vol 43 (2) ◽  
pp. 263-285 ◽  
Author(s):  
Emawtee Bissoondoyal-Bheenick ◽  
Robert Brooks ◽  
Wei Chi ◽  
Hung Xuan Do
Keyword(s):  
United States ◽  
Financial Services ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
The United States ◽  
Jel Classification ◽  
Volatility Spillover ◽  
Stock Market Volatility ◽  
Index Level ◽  
The Global Financial Crisis

We assess the stock market volatility spillover between three closely related countries, the United States, China and Australia. This study considers industry data and hence provides a clear idea of the channels through which volatility is transmitted across these countries. We find that there is significant bilateral causality between the countries at the market index level and across most of the industries for the full sample period from July 2007 to May 2016. There is one-way volatility spillover from the United States to China in the financial services, industrials, consumer discretionary and utilities industry. There is insignificant volatility spillover from the Australian to Chinese stock markets in financial services, telecommunications and energy industries. Once we remove the effect of the global financial crisis (GFC), we find significant bilateral relationship across all of the industries across the three countries. JEL Classification: G15

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