Volatility Linkages between Equity Markets of Pakistan, India, Singapore and Hong Kong: A GARCH BEKK Approach

Muhammad Junaid Iqbal, Afsheen Abrar, Nagina Jamil, Abid Ali Shah and AhsanulHaqSatti

Journal of Economics and Behavioral Studies, 2012, vol. 4, issue 1, 47-54

Abstract: The purpose of current study is to explore the volatility linkages between four Asian equity markets, which arePakistan (Karachi Stock Exchange), India (Bombay Stock Exchange), Hong Kong (Hang Sang Index) and Singapore (Strait Time Index). We estimate Multivariate GARCH BEKK model using weekly returns from January 2000 to August 2011.Direct evidences of linkages are found among all markets with respect to conditional mean returns and volatility.Own volatility spillover is found greater than cross volatility spillover in all emerging and developed economies.The insinuation of this study is that overseas investors may take advantage from the decrease of uncertainty by accumulating the stocks in the emerging markets to their investment portfolio.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:rnd:arjebs:v:4:y:2012:i:1:p:47-54

DOI: 10.22610/jebs.v4i1.301

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