The equity market returns and volatility spillover from the US and Japanese markets to Asian frontier markets

Thi Ngan Nguyen, Thi Kieu Hoa Phan and Nirav Parikh

Afro-Asian Journal of Finance and Accounting, 2022, vol. 12, issue 4, 491-508

Abstract: This paper examines the magnitude of return and volatility spillovers from the USA and Japan to Asian frontier equity markets (Sri Lanka and Vietnam). The US and Japan shocks are exogenous variables in ARMA-GARCH-M model. The study indicates that the day effect occurs in Sri Lanka at pre and post-crisis (2008). Secondly, the return contagion from Japan impacts Vietnam pre, in and post-crisis. This contagion from the USA influences Vietnam in crisis and post-crisis with higher magnitudes, compared to Japan. Thirdly, the return spillover from the USA impacts Sri Lanka before and during the crisis, while this spillover from Japan to Sri Lanka occurs after the crisis. Finally, the volatility spillover from the USA and Japan does not impact the Vietnamese market during the three periods. The volatility contagion from Japan influences Sri Lanka in the crisis, no volatility spillover from the USA to Sri Lanka through three periods.

Keywords: return spillover; volatility spillovers; frontier markets; contagion effects; ARMA-GARCH-M. (search for similar items in EconPapers)
Date: 2022
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