Return and Volatility Spillovers Effects:Study of Asian Emerging Stock Markets

作     者：Bhowmik RONI Ghulam ABBAS Shouyang WANG 

作者机构：Academy of Mathematics and Systems ScienceChinese Academy of Sciences University of Chinese Academy of Sciences School of Economics and ManagementUniversity of Chinese Academy of Sciences 

出 版 物：《Journal of Systems Science and Information》 (系统科学与信息学报（英文）)

年 卷 期：2018年第9卷第2期

页      面：97-119页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020202[经济学-区域经济学] 

基　　金：Financial support provided by the Chinese Academy of Sciences and The World Academy of Sciences (CAS-TWAS) 

主　　题：spillover stock returns volatility global financial crisis GARCH Granger causality variance decomposition 

摘      要：This paper examines the extent of contagion and interdependence across the six Asian emerging countries stock markets(e.g., Bangladesh, China, India, Malaysia, the Philippine, and South Korea) and then try to quantify the extent of the Asian emerging market fluctuations which are described by intra-regional contagion effect. These markets experienced both fast growth and key upheaval during the sample period, and thus, provide potentially rich information on the nature of border market interactions. Using the daily stock market index data from January 2002 to December 2016(breaking the 15 years data set into three sub periods; pre-crisis, crisis, and post crisis periods);particularly make attention to the global financial crisis of 20072008. The return and volatility spillovers are modeled through the GARCH(generalized autoregressive conditional heteroscedasticity),pairwise Granger causality tests, and the forecast error variance decomposition in a generalized VAR(vector auto regression) models. This paper shows that volatility and return spillovers behave very differently over time, during the pre-crisis, crisis, and post crisis periods. Importantly, Asian emerging stock markets interaction is less before the global financial crisis period. The return and volatility spillover indices touch their respective historical peaks during the global financial crisis 20072008,however Bangladeshi market faces this condition in 20092010.