Stock market integration and volatility spillover: India and its major Asian counterparts
Kedar Mukherjee and
Ram Kumar Mishra
Research in International Business and Finance, 2010, vol. 24, issue 2, 235-251
Stock market integration and volatility spillover between India and its major Asian counterparties is studied. Apart from different degrees of correlations, contemporaneous intraday return spillovers between India and its Asian counterparts are found to be positively significant and bi-directional. Hong Kong, Korea, Singapore and Thailand are found to be four Asian markets from where there is significant flow of information in India. Though most of the information gets transmitted between the markets without much delay, some amount of information still remains unsent and is found to be successfully transmitted as soon as the domestic market opens in the next day.
Keywords: Asian; stock; markets; Integration; Information; spillover; GARCH; model (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:24:y:2010:i:2:p:235-251
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