scholarly journals Volatility Interactions among India and US Stock Markets

2014 ◽  
Vol 1 (1) ◽  
pp. 107
Author(s):  
Joshi Prashant
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Volatility Spillover ◽  
Volatility Transmission ◽  
The Relationship

The study examines the return and volatility spillover among BSE and DJIA of India and US Stock Markets respectively. It employed GARCH-BEKK model to examine the relationship. The period of study is from January 2, 2012 to April 4, 2014. We find evidences of bidirectional shock and volatility interactions among the stock markets. The results indicate that DJIA exercises more influence on BSE in terms of shocks and volatility transmission. The overall persistence of volatility is highest in US stock market.

scholarly journals Volatility Spillover Effect in Indian Stock Market

2017 ◽  
Vol 5 ◽  
pp. 83-101 ◽  
Author(s):  
Surya Bahadur G. C ◽  
Ranjana Kothari ◽  
Rajesh Kumar Thagurathi
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Spillover Effect ◽  
Stock Index ◽  
Global Markets ◽  
Series Data ◽  
Volatility Spillover ◽  
Volatility Transmission ◽  
Indian Stock Market

The study aims to empirically examine the transmission of volatility from global stock markets to Indian stock market. The study is based on time series data comprising of daily closing stock market indices from National Stock Exchange (NSE), India and major foreign stock exchange of the three countries one each from America, Europe and Asia making the highest portfolio investment in Indian stock market. The study period covers 11 years from 1st January, 2005 to 31st December, 2015 comprising a total of 2731 observations. The Indian stock index used is CNX Nifty 50 and the foreign indices are S & P 500 from USA, FTSE 100 from UK, and Nikkei 225 from Japan. The results reveal that the Indian stock market return is co-integrated with market returns of US, UK and Japanese stock markets. Therefore, the return and hence volatility of Indian stock market is associated with global markets which depicts that it is getting integrated with global financial markets. The results provide empirical evidence for volatility transmission or volatility spillover in the Indian stock market from global markets. There exists inbound volatility transmission from US market to Indian stock market. The Indian and UK stock market have bi-directional volatility transmission. However, there exists presence of only outbound volatility transmission from Indian stock market to Japanese stock market. The volatility transmission from global markets to India is rapid with the spillover effect existing for up to three days only.Janapriya Journal of Interdisciplinary Studies, Vol. 5 (December 2016), page: 83-101

scholarly journals Return and Volatility Transmission between World-Leading and Latin American Stock Markets: Portfolio Implications

2020 ◽  
Vol 13 (7) ◽  
pp. 148 ◽  
Author(s):  
Imran Yousaf ◽  
Shoaib Ali ◽  
Wing-Keung Wong
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Latin American ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Volatility Spillover ◽  
Chinese Stock Market ◽  
Volatility Transmission ◽  
The Us ◽  
The Global Financial Crisis

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of the Chinese stock market of 2015. Regarding return spillover, our findings reveal a unidirectional return transmission from Mexico to the US stock market during the global financial crisis. During the crash of the Chinese stock market, the return spillover is found to be unidirectional from the US to the Brazil, Chile, Mexico, and Peru stock markets. Moreover, the results indicate a unidirectional return transmission from China to the Brazil, Chile, Mexico, and Peru stock markets during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global financial crisis. During the Chinese crash, the bidirectional volatility transmission is observed between the US and Mexican stock markets. Furthermore, the volatility spillover is unidirectional from China to the Brazil stock market during the global financial crisis. During the Chinese crash, the volatility spillover is bidirectional between the China and Brazil stock markets. Lastly, a portfolio analysis application has been conducted.

scholarly journals The Regime-Switching Behaviour of Exchange Rates and Frontier Stock Market Prices in Sub-Saharan Africa

2021 ◽  
Vol 14 (3) ◽  
pp. 122
Author(s):  
Maud Korley ◽  
Evangelos Giouvris
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Regime Switching ◽  
Markov Switching ◽  
Sub Saharan Africa ◽  
Var Model ◽  
High Volatility ◽  
Sub Saharan ◽  
The Relationship ◽  
Fx Market

Frontier markets have become increasingly investible, providing diversification opportunities; however, there is very little research (with conflicting results) on the relationship between Foreign Exchange (FX) and frontier stock markets. Understanding this relationship is important for both international investor and policymakers. The Markov-switching Vector Auto Regressive (VAR) model is used to examine the relationship between FX and frontier stock markets. There are two distinct regimes in both the frontier stock market and the FX market: a low-volatility and a high-volatility regime. In contrast with emerging markets characterised by “high volatility/low return”, frontier stock markets provide high (positive) returns in the high-volatility regime. The high-volatility regime is less persistent than the low-volatility regime, contrary to conventional wisdom. The Markov Switching VAR model indicates that the relationship between the FX market and the stock market is regime-dependent. Changes in the stock market have a significant impact on the FX market during both normal (calm) and crisis (turbulent) periods. However, the reverse effect is weak or nonexistent. The stock-oriented model is the prevalent model for Sub-Saharan African (SSA) countries. Irrespective of the regime, there is no relationship between the stock market and the FX market in Cote d’Ivoire. Our results are robust in model selection and degree of comovement.

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.

scholarly journals Opportunity or Crisis? Volatility and Leverage Effect in the World’s Largest Economies

2019 ◽  
Vol 9 (4) ◽  
pp. 1
Author(s):  
Amalendu Bhunia ◽  
Devrim Yaman
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Market Volatility ◽  
Future Market ◽  
Market Returns ◽  
Stock Market Returns ◽  
The Us ◽  
The World ◽  
The Impact ◽  
The Relationship

This paper examines the relationship between asset volatility and leverage for the three largest economies (based on purchasing power parity) in the world; US, China, and India. Collectively, these economies represent Int$56,269 billion of economic power, making it important to understand the relationship among these economies that provide valuable investment opportunities for investors. We focus on a volatile period in economic history starting in 1997 when the Asian financial crisis began. Using autoregressive models, we find that Chinese stock markets have the highest volatility among the three stock markets while the US stock market has the highest average returns. The Chinese market is less efficient than the US and Indian stock markets since the impact of new information takes longer to be reflected in stock prices. Our results show that the unconditional correlation among these stock markets is significant and positive although the correlation values are low in magnitude. We also find that past market volatility is a good indicator of future market volatility in our sample. The results show that positive stock market returns result in lower volatility compared to negative stock market returns. These results demonstrate that the largest economies of the world are highly integrated and investors should consider volatility and leverage besides returns when investing in these countries.

DCC Analysis of the Two Stock Market Returns by a Threshold Model: Empirical Study of the Stock Markets in Japan and Canada

2012 ◽  
Vol 468-471 ◽  
pp. 181-185
Author(s):  
Wann Jyi Horng ◽  
Tien Chung Hu ◽  
Ming Chi Huang
Keyword(s):  
Stock Market ◽  
Empirical Result ◽  
Stock Markets ◽  
Threshold Model ◽  
Conditional Correlation ◽  
Market Returns ◽  
Stock Market Returns ◽  
Asymmetrical Effect ◽  
Relationship Of ◽  
The Relationship

The empirical results show that the dynamic conditional correlation (DCC) and the bivariate asymmetric-IGARCH (1, 2) model is appropriate in evaluating the relationship of the Japan’s and the Canada’s stock markets. The empirical result also indicates that the Japan and the Canada’s stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.2514, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Japan’s and the Canada’s stock markets have an asymmetrical effect, and the variation risks of the Japan’s and the Canada’s stock market returns also receives the influence of the good and bad news, respectively.

Is disposition related to momentum in Chinese market?

2015 ◽  
Vol 41 (6) ◽  
pp. 600-614 ◽  
Author(s):  
Liu Liu Kong ◽  
Min Bai ◽  
Peiming Wang
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Disposition Effect ◽  
Chinese Stock Market ◽  
Momentum Effect ◽  
Chinese Market ◽  
Firm Level ◽  
Content Type ◽  
Level Data ◽  
The Relationship

Purpose – The purpose of this paper is to examine whether the framework of Prospect Theory and Mental Accounting proposed by Grinblatt and Han (2005) can be applied to analyzing the relationship between the disposition effect and momentum in the Chinese stock market. Design/methodology/approach – The paper applies the methodology proposed by Grinblatt and Han (2005). Findings – Using firm-level data, with a sample period from January 1998 to June 2013, the authors find evidence that the momentum effect in the Chinese stock market is not driven by the disposition effect, contradicting the findings of Grinblatt and Han (2005) concerning the US stock market. The discrepancies in the findings between the Chinese and US stock markets are robust and independent of sample periods. Research limitations/implications – The findings suggest that Grinblatt and Han’s model may not be applicable to the Chinese stock market. This is possibly because of the regulatory differences between the two stock markets and cross-national variation in investor behavior; in particular, the short-selling prohibition in the Chinese stock market and greater reference point adaptation to unrealized gains/losses among Chinese compared to Americans. Originality/value – This study provides evidence of the inapplicability of Grinblatt and Han’s model for the Chinese stock market, and shows the differences in the relationship between disposition effect and momentum between the Chinese and US stock markets.

scholarly journals THE VOLATILITY TRANSMISSION OF MAIN GLOBAL STOCK'S RETURN TO INDONESIA

2017 ◽  
Vol 20 (2) ◽  
pp. 229-256
Author(s):  
Linda Karlina Sari ◽  
Noer Azam Achsani ◽  
Bagus Sartono
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Stock Return ◽  
Global Financial Crisis ◽  
Symmetric Model ◽  
Return Volatility ◽  
Stock Return Volatility ◽  
Volatility Transmission ◽  
The Impact

Stock return volatility is a very interesting phenomenon because of its impact on global financial markets. For instance, an adverse shocks in one country’s market can be transmitted to other countries’ market through a particular mechanism of transmission, causing the related markets to experience financial instability as well (Liu et al., 1998). This paper aims to determine the best model to describe the volatility of stock returns, to identify asymmetric effect of such volatility, as well as to explore the transmission of stocks return volatilities in seven countries to Indonesia’s stock market over the period 1990-2016, on a daily basis. Modeling of stock return volatility uses symmetric and asymmetric GARCH, while analysis of stock return volatility transmission utilizes Vector Autoregressive system. This study found that the asymmetric model of GARCH, resulted from fitting the right model for all seven stock markets, provides a better estimation in portraying stock return volatility than symmetric model. Moreover, the model can reveal the presence of asymmetric effects on those seven stock markets. Other finding shows that Hong Kong and Singapore markets play dominant roles in influencing volatility return of Indonesia’s stock market. In addition, the degree of interdependence between Indonesia’s and foreign stock market increased substantially after the 2007 global financial crisis, as indicated by a drastic increase of the impact of stock return volatilities in the US and UK market on the volatility of Indonesia’s stock return.

An empirical analysis of stock market interdependence and volatility spillover in the stock markets of Africa and Middle East region

2019 ◽  
Vol 10 (3) ◽  
pp. 314-335 ◽  
Author(s):  
Ajaya Kumar Panda ◽  
Swagatika Nanda ◽  
Rashmi Ranjan Paital
Keyword(s):  
Middle East ◽  
Stock Market ◽  
Stock Markets ◽  
Volatility Spillover ◽  
Causality Test ◽  
Content Type ◽  
East Region ◽  
Long Run ◽  
International Investors ◽  
Middle East Region

Purpose The purpose of this paper is to examine the short-term and long-term interdependence among the stock markets of Africa and Middle East region. It also attempts to analyze the pattern of volatility spillover among the regional stock markets. Design/methodology/approach The study has used Granger causality test, variance decomposition test of vector auto-regression (VAR) model, vector error correction model (VECM), multivariate generalized conditional heteroskedasticity (MGARCH-BEKK) models and Johansen and Juselius multivariate cointegration techniques. Findings The study finds that the interlinkages of the stock markets are not uniform across all the countries of the region. The stock market of Israel, South Africa and Jordan are found to be highly connected stock market of the region followed by Egypt and Botswana. The study also finds significant spillover of lagged standardized volatility across the stock markets of the region. But the magnitude of the response of volatility spillover and its persistence is very minimum. However, the stock markets are found to be co-integrated and expected to share long-run equilibrium relationships among each other. Research limitations/implications The study has the scope to be extended to capture the time-varying integration of market returns with transmission of monetary policy and exchange rate changes within the region. The results obtained from this study may assist the firm managers and international investors to understand the key drivers of market connectedness. Originality/value Empirically investigating the pattern of stock market connectedness in Africa and Middle East region with advanced methodology over a long study period is the originality of this study.

Linkages between India and three ASEAN Stock Markets: A Co-integration Approach

2015 ◽  
Vol 4 (1) ◽  
Author(s):  
Giridhari Singh Rajkumar
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Short Term ◽  
Term Relation ◽  
Integration Test ◽  
Asean Countries ◽  
Indian Stock Market ◽  
The Relationship ◽  
Investment Choices

Today, an investor has an array of investment choices including the opportunities to approach overseas market which were unavailable a few decades ago. In literature, the integration of stock markets has been widely discussed and analyzed. This paper examines the relationship between Indian stock market and the three stock markets of the ASEAN countries viz. Indonesia, Malaysia, and Singapore. Using the daily closing prices of the indices over a period of ten years i.e. 2004 to 2014, the study examined the inter-linkages of Indian stock market with the three markets. The Granger-causality and co-integration test were used to check the causal relationship. The study found that there is a significant short-term unidirectional influenced from the Indian stock market to the three ASEAN countries stock markets while no long-term relation (no co-integration) are found between the Indian equity market with that of three ASEAN countries viz. Indonesia, Malaysia, and Singapore equity markets.

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