Information dynamics effects from major world markets to SAARC nations

Vivek Bhargava () and Akash Dania

Journal of Economics and Finance, 2012, vol. 36, issue 4, 850-867

Abstract: This paper investigates the impact of major world equity markets on four founding countries of the South Asian Association for Regional Cooperation (SAARC). With a population of 1.47 billion, SAARC is the largest regional organization in the world. However, the issue of global integration of equity markets of the SAARC nations has largely been ignored. This study fills this important gap, adding results towards the ongoing debate concerning the issue of global market integration. After the onset of the financial crises of 2008, this issue is imperative. VAR analysis is used to determine whether there is any dependency of SAARC return on the performance of world equity markets. Further, GARCH-in-mean modeling is used to determine whether there is any evidence of Volatility spillover. It is found that volatility in major world markets do not impact returns in SAARC nation, but ample evidence of volatility spillover is found for India, Bangladesh and Sri Lanka. Similar results are not obtained for Pakistan. Copyright Springer Science+Business Media, LLC 2012

Keywords: GARCH; VAR; SAARC; Global Integration; Volatility Spillover; F36; G15; G37 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1007/s12197-010-9157-4 (text/html)
Access to full text is restricted to subscribers.

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:spr:jecfin:v:36:y:2012:i:4:p:850-867

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/12197/PS2

DOI: 10.1007/s12197-010-9157-4

Access Statistics for this article

Journal of Economics and Finance is currently edited by James Payne

More articles in Journal of Economics and Finance from Springer, Academy of Economics and Finance Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().