Transmission of equity returns and volatility in Asian developed and emerging markets: A multivariate GARCH analysis
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This paper examines the transmission of equity returns and volatility among Asian equity markets and investigates the differences that exist in this regard between the developed and emerging markets. Three developed markets (Hong Kong, Japan and Singapore) and six emerging markets (Indonesia, Korea, Malaysia, the Philippines, Taiwan andThailand) are included in the analysis. A multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model is used to identify the source and magnitude of spillovers. The results generally indicate the presence of large and predominantly positive mean and volatility spillovers. Nevertheless, mean spillovers from the developed to the emerging markets are not homogeneous across the emerging markets, and own-volatility spillovers are generally higher than cross-volatility spillovers for all markets, but especially for the emerging markets.
International Journal of Finance and Economics
© 2004 John Wiley & Sons, Ltd. This is the peer reviewed version of the following article: Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis, International Journal of Finance and Economics, Volume 9, Issue 1, Pages 71-80, 2004, which has been published in final form at https://doi.org/10.1002/ijfe.222. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving (http://olabout.wiley.com/WileyCDA/Section/id-828039.html)