Emerging Markets and Volatility Spillover Effects: Empirical Evidence from Regional Emerging Economies of Pakistan, China, India, and Bangladesh

Kashif Hamid, Muhammad Mudasar Ghafoor and Muhammad Yasir Saeed
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Kashif Hamid: Lecturer, Institute of Business Management Sciences, University of Agriculture, Faisalabad, Punjab, Pakistan.
Muhammad Mudasar Ghafoor: Assistant Professor, Department of Commerce, University of the Punjab, Jhelum Campus, Jhelum, Punjab, Pakistan.
Muhammad Yasir Saeed: Ph.D Scholar, Department of Management Sciences, Preston University, Islamabad, Pakistan.

Global Economics Review, 2020, vol. 5, issue 1, 102-116

Abstract: Emerging markets and volatility spillover effects remained a highly focused area in the field of financial economics. Therefore, we have empirically testified the volatility spillover effects between markets of emerging economies i.e Pakistan, China, Bangladesh, and India during the period from 1st January 2000 to 31st December 2015. We used Multivariate GARCH and causality models to identify the spillover effects. It is concluded that there exists significant evidence of spillover effect from the market of Pakistan to India, India to China and from China to Pakistan. However, the larger negative shift in the volatility occurs more frequently than positive shocks. Hence it is concluded that the impact of own spillovers of the markets is much higher than the impact of cross-market spillovers during this period.

Keywords: Emerging Markets. Volatility Spillover Effects; Multivariate GARCH Models (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:aaw:journl:v:5:y:2020:i:1:p:102-116

DOI: 10.31703/ger.2020(V-I).09

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