Transmission Of Volatility Across Asia Pacific Stock Markets
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| Author | : Amarnath Mitra |
| Publisher | : |
| Total Pages | : 20 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download Transmission of Volatility Across Asia-Pacific Stock Markets Book in PDF, Epub and Kindle
In finance literature, volatility is synonymous with the measure of risk. Spillover of volatility refers to the transmission of disturbances or shock from one market to another and has direct consequence on resource allocation, risk hedging, and even, monetary policies. Spillover between stock markets has been the subject of study since 1990s where researchers have studied the nature of time-varying correlations between international stock markets. Extant literature substantiates the fact that volatility spillover between international stock markets happens at all times and that developed nations, particularly the US, is the major source of spillover. However, studies involving emerging markets, specifically in the Asia-Pacific region is scarce. Moreover, a clear understanding regarding the pattern of volatility transmission across international stock markets is lacking. The present study attempts to track the transmission of volatility across 11 international stock markets in the Asia-Pacific region over a span of 20 years, which include both crises (i.e. contagion form) and non-crisis periods. It also investigates whether global transmission of volatility follow a pattern. Our study contributes to the literature in two ways: (1) It provides a historical map of volatility transmission in the Asia-Pacific region; and (2) this study identifies the path and pattern of volatility spillover across Asia-Pacific stock markets.
| Author | : Suk-Joong Kim |
| Publisher | : |
| Total Pages | : 33 |
| Release | : 2005 |
| Genre | : |
| ISBN | : |
Download Information Leadership in the Advanced Asia-Pacific Stock Markets Book in PDF, Epub and Kindle
This paper investigates the nature of the stock market linkages in the advanced Asia-Pacific stock markets of Australia, Hong Kong, Japan and Singapore with the U.S and the information leadership of the U.S. and Japan in the region since the early 1990s. It has been found that both the contemporaneous return and volatility linkages were significant and tended to be more intense after the 1997 Asian crisis period. However, the investigation of the dynamic information spillover effects in terms of returns, volatility and trading volume from the U.S. and Japan did not produce such time-varying influence. In general, significant dynamic information spillover effects from the U.S. were found in all the Asia-Pacific markets, but the Japanese information flows were relatively weak and the effects were country specific.
| Author | : Richard Heaney |
| Publisher | : |
| Total Pages | : 36 |
| Release | : 1997 |
| Genre | : Mathematical models |
| ISBN | : |
Download An Examination of the Variation in Equity Market Returns and Volatility in the Asia Pacific Region Book in PDF, Epub and Kindle
| Author | : Bruce Allen Hearn |
| Publisher | : |
| Total Pages | : 46 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Download Integration and the Asymmetric Transmission of Volatility Book in PDF, Epub and Kindle
Considerable attention has been given to market integration and volatility transmission between national stock markets, although this has previously been confined to OECD countries or emerging markets in Latin America and Asia-Pacific. Using a new and comprehensive dataset, this paper finds evidence of volatility transmission between ten rival markets in SSA, noting that this volatility is intrinsically asymmetric. Extensive spillovers are found across these markets, some uni-directional and others bilateral. However, continued illiquidity, incomplete institutions and low levels of domestic participation indicate that an integrated financial community remains premature, and considerable regulatory reform and harmonisation will be necessary before this can be achieved.
| Author | : Young Joon Park |
| Publisher | : |
| Total Pages | : 53 |
| Release | : 2019-11 |
| Genre | : |
| ISBN | : 9788932201276 |
Download Asia-Pacific Stock Market Connectedness: A Network Approach(APEC Study Series 19-01) Book in PDF, Epub and Kindle
| Author | : Hung Ngo |
| Publisher | : |
| Total Pages | : 16 |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
Download Return and Volatility Spillover Across Equity Markets Between China and Southeast Asian Countries Book in PDF, Epub and Kindle
Purpose - This paper aims to study the daily returns and volatility spillover effects in common stock prices between China and four countries in Southeast Asia (Vietnam, Thailand, Singapore and Malaysia).Design/methodology/approach - The analysis uses a vector autoregression with a bivariate GARCHBEKK model to capture return linkage and volatility transmission spanning the period including the pre- and post-2008 Global Financial Crisis.Findings - The main empirical result is that the volatility of the Chinese market has had a significant impact on the other markets in the data sample. For the stock return, linkage between China and other markets seems to be remarkable during and after the Global Financial Crisis. Notably, the findings also indicate that the stock markets are more substantially integrated into the crisis.Practical implications - The results have considerable implications for portfolio managers and institutional investors in the evaluation of investment and asset allocation decisions. The market participants should pay more attention to assess the worth of across linkages among the markets and their volatility transmissions. Additionally, international portfolio managers and hedgers may be better able to understand how the volatility linkage between stock markets interrelated overtime; this situation might provide them benefit in forecasting the behavior of this market by capturing the other market information.Originality/value - This paper would complement the emerging body of existing literature by examining how China stock market impacts on their neighboring countries including Vietnam, Thailand, Singapore and Malaysia. Furthermore, this is the first investigation capturing return linkage and volatility spill over between China market and the four Southeast Asian markets by using bivariate VAR-GARCH-BEKK model. The authors believe that the results of this research's empirical analysis would amplify the systematic understanding of spillover activities between China stock market and other stock markets.
| Author | : Usman Bashir |
| Publisher | : |
| Total Pages | : |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download Asymmetric Volatility, Risk and Return Tradeoff in Asian Pacific Stock Markets Book in PDF, Epub and Kindle
| Author | : Bruce Q. Budd |
| Publisher | : |
| Total Pages | : 17 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Download A Multivariate Investigation of the Volatilities and Co-Volatilities of Equity Markets Between Australia and Three Major Asian Pacific Equity Markets Book in PDF, Epub and Kindle
This preliminary study employs VECH-Multivariate Generalized Conditional Heteroskedasticity (MGARCH) model to test the cluster volatility of asset returns transmission impact among four Asian-Pacific equity markets: Australia, India, Hong Kong and Japan. Daily asset returns of the stock exchange indices are used for the period 2004 to 2014. Evidence shows that past shocks arising from the India stock market display the strongest evidence of impact on its 'own' future market volatility compared to the shocks stemming from the other three stock markets. This paper reveals the presence of high and positive lagged cross-volatility persistence between all countries. Australia in particular, exposes evidence of strong volatility persistence from all of the three markets to Australia. The strongest cross-volatility shock coefficients between countries are between Australia and Japan. India and Japan is the weakest. These results further provide strong evidence that all exchanges are well-integrated markets with high and positive spillovers. Asset returns of each exchange are linked. The volatility of one market does lead the volatility of other markets in the Asian-Pacific region. Shocks on a market do increase the volatility on another market. Finally this paper concludes that as these markets become more integrated, so this can lead to reduced opportunities for future global portfolio risk diversification.
| Author | : Sang Hoon Kang |
| Publisher | : |
| Total Pages | : |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Download Contagion Effects and Volatility Impulse Responses Between US and Asian Stock Markets Book in PDF, Epub and Kindle
In this study, we investigated volatility transmission effects be-tween the US and six Asian markets -- China, Hong Kong, Japan, Korea, Singapore, and Taiwan -- using a bivariate GARCH-BEKK model. We also assessed the impact of shocks on stock market volatility using the volatility impulse response function (VIRF). Our empirical findings extend several recent reports. First, the empirical results of this study show that the US and Asian stock markets are interrelated by their volatility. Second, we found that the 2008 global financial crisis intensified volatility transmission across the US and Asian stock markets. Third, we found that one large shock, the bankruptcy of Lehman Brothers, resulted in an increase in expected conditional volatilities in the post-bankruptcy era. Moreover, the magnitude and the persistence of the volatility impulse responses differed across Asian stock markets due to differing investor reactions to shocks in each market.
| Author | : Herald van der Linde |
| Publisher | : Marshall Cavendish International Asia Pte Ltd |
| Total Pages | : 274 |
| Release | : 2021-10-15 |
| Genre | : Business & Economics |
| ISBN | : 9815009524 |
Download Asia’s Stock Markets from the Ground Up Book in PDF, Epub and Kindle
A summary of how stock markets work for those looking to invest. This book is a practical guide to Asia’s stock markets for a general audience. It is for people who do not know much about financial markets but, for whatever reason, would like to learn more. They could be seasoned expatriate pilots, academics and other professionals, newcomers in the region as well as students or young men and women about to start in the finance industry. The idea is to cut through the alphabet soup of industry jargon to provide a clear understanding of how these markets work, how they differ from each other in size and depth, what unique features each stock market has and what drives all the different sectors in these markets – consumers, the internet, banks and technology. The book includes helpful history lessons and personal anecdotes drawn from the author’s 30 years in the world of Asian investments.
