Volatility transmission in regional Asian stock markets

Qaisar Abbas, Sabeen Khan and Syed Zulfiqar Ali Shah

Emerging Markets Review, 2013, vol. 16, issue C, 66-77

Abstract: This study aims to investigate the presence of volatility transmission among regional equity markets of Pakistan, China, India, and Sri Lanka. Moreover for developed countries, the stock indices of USA, UK, Singapore, and Japan have been considered. If countries of the same region have a long run relationship then chances of an optimum currency area increases whereas, a diversification strategy to reduce risk is not workable. Results among the developed and Asian countries show that volatility transmission is present between friendly countries of different regions with economic links. We also find some evidence of transmission of volatility between countries which are on unfriendly terms.

Keywords: Volatility; Diversification; Emerging markets (search for similar items in EconPapers)
JEL-codes: N25 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (39)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1566014113000368
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:16:y:2013:i:c:p:66-77

DOI: 10.1016/j.ememar.2013.04.004

Access Statistics for this article

Emerging Markets Review is currently edited by Jonathan A. Batten

More articles in Emerging Markets Review from Elsevier
Bibliographic data for series maintained by Catherine Liu ().