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Do Indian Economic Activities Impact on ASEAN-5 Stock Markets?

Jurnal Ekonomi Malaysia

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Field Value
 
Title Do Indian Economic Activities Impact on ASEAN-5 Stock Markets?
 
Creator Lean, Hooi Hooi
 
Subject Contagion effect; volatility spillover; ASEAN-5 stock markets; Indian economic activities
F36; G15
 
Description This study examines the dynamic linkages of ASEAN-5 with India based on a multivariate framework. DCC-MGARCH model is used to assess the presence of contagion effects and herding behaviour, indicated by the dynamic volatility correlations. The VAR-Granger causality test is employed to capture the direction of dynamic volatility transmission in the short run. Findings show that the dynamic correlation of ASEAN-5 stock markets with Indian economy is in par with the U.S. and Japan. The simultaneously sudden spike in DCC between India and ASEAN-5 and followed by immediate reversal to decreasing DCC in 2009 indicate a contagion effect and herding behaviour which coincided with European sovereign debt crisis. The immediate reversal back to decreasing DCC suggests both countries were hardly contagious by external crisis. In the short run, there is no volatility spillover from India economic activities to ASEAN-5 stock markets but volatility spillover from Indonesia and Singapore stock markets to Indian economic activities. Trade policies, economic crises and economic liberalisation play significant roles in shaping the structure of the dynamic volatility correlations between the studied markets. This study reveals that India has become preferred markets for diversifying stock portfolio for ASEAN-5 in the short run.
 
Publisher Universiti Kebangsaan Malaysia
 
Contributor —
 
Date 2015-12-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Identifier http://ejournal.ukm.my/jem/article/view/8901
 
Source Jurnal Ekonomi Malaysia; Vol 49, No 2 (2015): Jurnal Ekonomi Malaysia; 61-76
0126-1962
 
Language en
 
Relation http://ejournal.ukm.my/jem/article/downloadSuppFile/8901/3765