scholarly journals Volatility Spillover Effect of Pan-Asia’s Property Portfolio Markets

Mathematics ◽  
2021 ◽  
Vol 9 (12) ◽  
pp. 1418
Author(s):  
Mário Nuno Mata ◽  
Muhammad Najib Najib Razali ◽  
Sónia R. Bentes ◽  
Isabel Vieira
Keyword(s):  
Hong Kong ◽  
Spillover Effect ◽  
The Philippines ◽  
Volatility Spillover ◽  
Asian Countries ◽  
Property Market ◽  
Macroeconomic Factors ◽  
Volatility Spillovers ◽  
Property Companies ◽  
Volatility Spillover Effect

This study assesses the spillover effect of the listed property companies that cover pan-Asian countries, namely Malaysia, Thailand, Indonesia, Singapore, Vietnam, South Korea, Japan, China, the Philippines, and Hong Kong. The impact of market integration will create a spillover effect to the countries’ economic performances, in particular the property market. As macroeconomic factors have high correlation with the performance of property security markets, it is therefore important to study the spillover effect by integrating the macroeconomic factors. This study has employed the exponential generalised autoregressive conditional heteroscedasticity (EGARCH) technique to develop the volatility spillover effect among pan-Asian countries. The results reveal high volatility of listed property companies recorded in Hong Kong and China, while Singapore, The Philippines and Japan have shown low volatility spillovers. In terms of macroeconomic factors, gross domestic product (GDP) and money supply (MS) are the most significant factors in influencing the volatility spillover effect among pan-Asian countries. From the standpoint of regional investors, the volatility spillover characteristics of pan-Asian countries will aid property stakeholders in the region in developing their own methods for making investment decisions in the property security market. Furthermore, in uncertain conditions of the financial market, this study will elevate the transparency of the pan-Asian property portfolio market by providing information on the property market volatility spillovers.

scholarly journals Analysis of meat price volatility and volatility spillovers in Finland

2020 ◽  
Vol 66 (No. 2) ◽  
pp. 84-91
Author(s):  
Marwa Ben Abdallah ◽  
Maria Fekete Farkas ◽  
Zoltan Lakner
Keyword(s):  
Price Level ◽  
Risk Mitigation ◽  
Spillover Effect ◽  
Significant Risk ◽  
Price Volatility ◽  
Poultry Meat ◽  
Volatility Spillover ◽  
Negative Effects ◽  
Volatility Spillovers ◽  
Volatility Spillover Effect

Unforeseen important changes in price can present a significant risk in the market. The price fluctuation of agricultural commodities has raised concern for studying the volatility of different agricultural products. A persistent volatility in prices causes continued uncertainty in the market. Higher price volatility is to be mitigated by higher management costs and the higher cost of risk mitigation is often converted into higher producer prices. The aim of this paper is to investigate the price volatility of producer and consumer meat prices and to capture the volatility spillover along the Finnish meat supply chain. The Generalised Autoregressive Conditional Heteroskedasticity – Baba, Engle, Kraft and Kroner (GARCH-BEKK) model is applied to analyse shocks and volatilities of the prices and to estimate whether the price volatility is flowing from the first price level (producer) to the second price level (consumer), using monthly price indices. An asymmetric volatility spillover effect was detected in the poultry meat and a unidirectional, volatility spillover effect, from consumer to producer, is observed for pork prices. The findings of this study could serve as a tool for forecasting meat producer and consumer prices, which could assist the Finnish government with endorsing policy options to alleviate the price volatility impact, to protect both consumers and producers from its negative effects.

VOLATILITY SPILLOVER EFFECT OF FEDERAL RESERVE’S BALANCE SHEET ON THE FINANCIAL AND GOODS MARKETS OF INDO-PAK REGION

2019 ◽  
Vol 14 (03) ◽  
pp. 1950015
Author(s):  
QASIM RAZA SYED ◽  
WASEEM SHAHID MALIK ◽  
BISHARAT HUSSAIN CHANG
Keyword(s):  
Financial Markets ◽  
Federal Reserve ◽  
Balance Sheet ◽  
Spillover Effect ◽  
Spillover Effects ◽  
The Other ◽  
Volatility Spillover ◽  
Monthly Basis ◽  
Volatility Spillovers ◽  
Volatility Spillover Effect

This paper examines the volatility spillover effect of the balance sheet of Federal Reserve (Fed) on the financial and goods markets of Pakistan, India and Bangladesh (collectively known as the Indo-Pak region). Diagonal BEKK-GARCH methodology is used to capture the volatility spillover effects on Indo-Pak economies. This study took data from the year 2004 to year 2019 on a monthly basis. The findings of the paper describe that there are volatility spillovers from Fed’s balance sheet to the financial markets of Pakistan, India and Bangladesh economies. On the other hand, there is also evidence of volatility spillovers from the balance sheet of Fed to the goods markets of these economies.

Dynamic Co-movement and Volatility Spillover Effect Between Sukuk and Conventional Bonds:A Comparison Study Between ASEAN and GCC

2021 ◽  
pp. 097215092110262
Author(s):  
Nevi Danila ◽  
Noor Azlinna Azizan ◽  
Eddy Suprihadi ◽  
Bunyamin Bunyamin
Keyword(s):  
Spillover Effect ◽  
Global Market ◽  
Bond Markets ◽  
Volatility Spillover ◽  
Conditional Correlation ◽  
Kingdom Of Saudi Arabia ◽  
Macroeconomic Factors ◽  
Dynamic Conditional Correlation ◽  
Dynamic Correlation ◽  
Volatility Spillovers

Sukuk and conventional bonds gain their popularity in the global market. Hence, an observation of the dynamic correlation and transmission of volatility between these two instruments is relevant. This article investigates the volatility spillover of sukuk and conventional bond markets by using GARCH-BEKK model. Then, we measure the dynamics of the co-movement of both markets by using GARCH-DCC model, and finally, we examine the macroeconomic factors that determine the dynamic conditional correlation between sukuk and conventional bonds in two Association of Southeast Asian Nations (ASEAN) markets (i.e., Indonesia and Malaysia) and four Gulf Cooperation Council (GCC) markets (i.e., Kingdom of Saudi Arabia, UAE, Qatar and Oman). The data reveal unidirectional and bidirectional volatility spillovers of sukuk and bond indices. The results also show strong evidence of dynamic conditional correlation for all markets. On the basis of the BEKK and dynamic conditional correlation (DCC) results, we infer that bonds and sukuk in ASEAN and GCC markets show the efficiency of the markets, which do not offer any diversification benefits to investors for having both instruments in their portfolios. As regards portfolio diversification strategies, investors must pay attention to the co-movements and spillover of both markets accordingly. Finally, only Oman market is influenced by all macroeconomic variables.

scholarly journals The Effects from The U.S. and Japan to Emerging Stock Markets in Asia and Vietnam

2021 ◽  
Author(s):  
SDAG Lab
Keyword(s):  
Emerging Markets ◽  
Stock Prices ◽  
Stock Markets ◽  
Spillover Effect ◽  
Spillover Effects ◽  
The Philippines ◽  
Volatility Spillovers ◽  
Return Effect ◽  
Asian Emerging Markets ◽  
The U.S

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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