Return and Volatility Spillovers Among Asian Stock Markets

Prashant Joshi

SAGE Open, 2011, vol. 1, issue 1, 2158244011413474

Abstract: The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China, Jakarta, and Korea using a six-variable asymmetric generalized autoregressive conditional heteroscedasticity–Baba, Engle, Kraft, and Kroner (GARCH-BEKK) model during February 2, 2007, to February 29, 2010. The author finds evidence of bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low indicating weak integration of Asian stock markets. The study finds that own volatility spillover is higher than cross-market spillover. The overall persistence of stock market volatility is highest for Japan (0.931) and lowest for China (0.824). The implication of weak integration is that investors will benefit from reduction of diversifiable risk.

Keywords: return and volatility spillovers; unit root test; multivariate GARCH model; asymmetric volatility response (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:sagope:v:1:y:2011:i:1:p:2158244011413474

DOI: 10.1177/2158244011413474

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