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Return and Volatility Transmissions in Asia’s Top Emerging Economies
Euro-Asian Journal of Economics and Finance
View Archive Info| Field | Value | |
| Title |
Return and Volatility Transmissions in Asia’s Top Emerging Economies
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| Creator |
Diaz, John Francis
Tan, Genevieve Liao Qian, Peh Ying |
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| Subject |
Emerging Stock Markets, Spillover Effects, Leverage Effects, ARMA-EGARCH model
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| Description |
This paper applies the Autoregressive Moving Average-Exponential General Autoregressive Conditional Heteroskedasticity (ARMA-EGARCH) in studying the spillover and leverage effects of returns and volatilities of China’s Shanghai Stock Exchange (SSE) index, India’s Bombay Stock Exchange index (BSE), Malaysia’s Kuala Lumpur Stock Exchange (KLSE) index, and the Philippine Stock Exchange (PSE) index. Results show that the leverage effects term is negative in all emerging stock market indices, except for Malaysia, which means that the Malaysian financial market is relatively stable. This paper also finds bilateral positive returns and volatility transmissions between BSE and the PSE index, which can be attributed to the established bilateral trade relations between the two countries. The BSE is found to also have a higher volatility effect on the KLSE index over the SSE, which can be attributed to the more established trade relations between India and Malaysia. Lastly, the PSE index’s one-way positive volatility spillover effect on the SSE index is attributed to the higher Philippine investments in China compared to China’s investments in the Philippines.
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| Publisher |
Academy of Business & Scientific Research
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| Date |
2015-07-12
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
—
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| Identifier |
http://absronline.org/journals/index.php/eajef/article/view/524
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| Source |
Euro-Asian Journal of Economics and Finance; Vol 3 No 3 (2015): July; 125-132
2310-4929 2310-0184 |
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| Language |
eng
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| Relation |
http://absronline.org/journals/index.php/eajef/article/view/524/545
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| Rights |
Copyright (c) 2015 Euro-Asian Journal of Economics and Finance
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