Unveiling Market Connectedness: Dynamic Returns Spillovers in Asian Emerging Stock Markets

Maaz Khan (), Mrestyal Khan, Umar Nawaz Kayani, Khurrum Shahzad Mughal and Roohi Mumtaz
Additional contact information
Maaz Khan: Department of Management Sciences, COMSATS University Islamabad, Islamabad 45550, Pakistan
Mrestyal Khan: Department of Management Sciences, Balochistan University of Information Technology, Engineering, & Management Sciences (BUITEMS), Quetta 87300, Pakistan
Umar Nawaz Kayani: College of Business, Al Ain University, Abu Dhabi P.O. Box 122612, United Arab Emirates
Khurrum Shahzad Mughal: Islamabad Policy Research Institute—IPRI, Islamabad 45710, Pakistan
Roohi Mumtaz: Department of Leadership Management & Human Resources (LMHR), International Business School, Teesside University, Middlesbrough TS1 3BX, UK

IJFS, 2023, vol. 11, issue 3, 1-21

Abstract: This study investigates the returns spillovers across the equity markets of Asian emerging economies (China, India, Indonesia, Malaysia, Pakistan, Philippines, South Korea, Taiwan, and Thailand). To achieve this objective, we used two different spillover methodologies (DY 2012 and BK 2018). Moreover, this study used the daily closing prices of equity indices ranging from 5 January 2005 to 13 November 2021. The empirical findings revealed that the total spillover index using DY 2012, and the short-term frequency index using BK 2018, are close to each other, with values of 46.92% and 43.04%, respectively. However, the spillover index value is high, with a value of 56.25% in the long run. Furthermore, the results showed that the stock markets of South Korea and Taiwan are the major spillover transmitters in the Asian emerging markets. Also, the financial association among all emerging Asian equities is at its peak, subject to the mobility of cash flows across the global economies. The results of this study provide meaningful insight for policymakers and investors to implement an effective strategy to overcome the possible influence of any financial crisis in the future. Our paper provides a potential contribution to the financial literature by examining the transmission of spillovers across the Asian emerging stock markets. Furthermore, it provides in-depth information regarding stock market interdependence.

Keywords: returns spillovers; Asian stock market; emerging markets; market spillover (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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