Spillovers of good and bad volatility in Asian emerging markets: insights from global and regional perspectives

Boubekeur Baba ()
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Boubekeur Baba: University of Adrar

Journal of Economics and Finance, 2024, vol. 48, issue 4, No 13, 1233-1274

Abstract: Abstract This study analyzes the spillovers of good and bad volatility in Asian emerging markets from regional and global perspectives. The study finds that the intraregional directional spillovers of good and bad volatility dominate the good and bad volatility spillovers stemming from global markets. This implies that regional markets generate far stronger volatility spillovers than global markets in the region of emerging Asia. In terms of asymmetric volatility spillovers, Asian emerging markets exhibit substantial differences. While regional volatility spillovers are more driven by negative shocks in certain markets, positive shocks are the most frequent cause of volatility spillovers in others. However, positive asymmetries of regional volatility spillovers are often shaper than negative asymmetries in all Asian emerging markets. The asymmetric volatility spillovers from most global stock markets often materialize as a spillover of bad volatility, except in the case of the Japanese stock market. The volatility spillovers from the latter are overwhelmingly driven by positive shocks. Further, the Japanese stock market is identified as a major source of good and bad volatility spillovers. Meanwhile, the U.S. stock market is identified as the most consistent source of bad volatility spillovers to Asian emerging markets.

Keywords: Asymmetric volatility spillovers; Good volatility; Bad volatility; Regional markets; Global markets; Asian emerging markets (search for similar items in EconPapers)
JEL-codes: C18 F36 F39 G15 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s12197-024-09696-5

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