Transmission of equity returns and volatility in Asian developed and emerging markets : a multivariate Garch analysis

By Andrew C. Worthington, H. Higgs. 2004

248 citations recorded by the source corpus.

This paper examines the transmission of equity returns and volatility among Asian equity markets and investigates the differences that exist in this regard between the developed and emerging markets. Three developed markets (Hong Kong, Japan and Singapore) and six emerging markets (Indonesia, Korea, Malaysia, the Philippines, Taiwan andThailand) are included in the analysis. A multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model is used to identify the source and magnitude of spillovers. The results generally indicate the presence of large and predominantly positive mean and volatility spillovers. Nevertheless, mean spillovers from the developed to the emerging markets are not homogeneous across the emerging markets, and own-volatility spillovers are generally higher than cross-volatility spillovers for all markets, but especially for the emerging markets.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9c444da345a86e5227921ad969b7c31bd280b775

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Citations in the corpus

Global and Regional Spillovers in Emerging Stock Markets: A Multivariate Garch-in-Mean Analysis (2010, background): “Floros (2008) focuses on the Middle East, while Ng (2000), Tay and Zhu (2000), Worthington and Higgs (2004), Caporale, Pittis and Spagnolo (2006), Engle, Gallo and Velucchi (2008), and Li and Rose (2008) examine stock markets in emerging Asia.”
International linkages of the Chinese stock exchanges: a multivariate GARCH analysis (2007, background): “Worthington and Higgs (2004) examine the transmission of equity returns and volatility among nine Asian developed and emerging markets by a nine-variable GARCH model.”
How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets (2014, background): “4Our study is more in line with Karolyi (1995), Koutmos and Booth (1995), and Worthington and Higgs (2004), who examine volatility transmission in stock markets using multivariate models. interest with unprecedent price variations.”
Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures (2016, background): “…the investigation of volatility spillovers in the sample which is not restricted only to developed markets (see, e.g., Beirne & Fratzscher, 2013; Beirne et al, 2013; Cho, Hyde & Nguyen, 2014; Diebold & Yilmaz, 2009, 2012; Singh, Kumar & Pandey, 2010; Syriopoulos, 2007; Worthington & Higgs, 2004).”