Record Details

Stock Market Linkages: Evidence From the US, China and India During the Subprime Crisis

Timisoara Journal of Economics and Business

View Archive Info
 
 
Field Value
 
Title Stock Market Linkages: Evidence From the US, China and India During the Subprime Crisis
 
Creator SINGH, Amanjot; Punjabi University, Patiala, Punjab
KAUR, Parneet; Punjabi University, Patiala, Punjab, India
 
Subject Economics; Finance; International Stock Markets
Financial Crisis; Spillover; Variance Decomposition; Vector Autoregression Model; Volatility
G01, G15, F00, F36
 
Description The Subprime crisis spillovered the returns and volatility from the US stock market to the other integrated economies. The present study attempts to analyze the stock market linkages between the US, India and China, especially during the US subprime Crisis. The technique of Tri-Variate Vector Autoregression and the Spillover Index has been employed so as to analyze the relations during the time period 2007 to 2009. To estimate the time varying risk parameters, the technique of Threshold Generalized Autoregressive Conditional Heteroskedastic [TGARCH (1,1)] model has been used. A uni-directional causality has  been observed from the US market to the Indian and Chinese market, whereas another unidirectional causality has also been spotted running from the Chinese market to the Indian market in the context of stock market returns during the crisis period. A uni-directional volatility spillover from the US to the Indian market and from the Indian to the Chinese market has been found to be significant. As per the volatility Spillover Index, the cross market impact on the volatility reduces over a time period 2007-2009, due to the increased impact of the past volatility and the presence of 'leverage effect'. The falling returns added to the volatility in the respective markets. The efficient tests of causality inspired by Hill (2007) reported an indirect impact of the US market volatility on the Chinese market via Indian. The portfolio managers should discount this information well ahead of time to maintain the portfolio values by taking positions in futures and options market.
 
Publisher De Gruyter Open
 
Date 2015-06-30
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
 
Format application/pdf
 
Identifier http://tjeb.ro/index.php/tjeb/article/view/TJEB8-1_137to162
 
Source Timisoara Journal of Economics; Vol 8, No 1 (2015); 137-162
Timisoara Journal of Economics and Business; Vol 8, No 1 (2015); 137-162
 
Language eng
 
Relation http://tjeb.ro/index.php/tjeb/article/view/TJEB8-1_137to162/pdf
 
Rights Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License. (CC BY-NC-ND 3.0) (Since 2014)