A Multivariate Investigation Of The Volatilities And Co Volatilities Of Equity Markets Between Australia And Three Major Asian Pacific Equity Markets
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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 | : 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 | : Eduardo Roca |
Publisher | : Routledge |
Total Pages | : 115 |
Release | : 2020-11-26 |
Genre | : Social Science |
ISBN | : 1000160378 |
Download Price Interdependence Among Equity Markets in the Asia-Pacific Region Book in PDF, Epub and Kindle
This title was first published in 2000: An investigation of the issue of financial markets interdependence or integration through the application of recently developed and powerful techniques in time series econometrics. The text provides coverage of theoretical analysis and applications in the context of the Asia-Pacific region.
Author | : Eduardo Roca |
Publisher | : Routledge |
Total Pages | : 184 |
Release | : 2020-11-25 |
Genre | : Business & Economics |
ISBN | : 1000114023 |
Download Price Interdependence Among Equity Markets in the Asia-Pacific Region Book in PDF, Epub and Kindle
This title was first published in 2000: An investigation of the issue of financial markets interdependence or integration through the application of recently developed and powerful techniques in time series econometrics. The text provides coverage of theoretical analysis and applications in the context of the Asia-Pacific region.
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 | : Andrew Charles Worthington |
Publisher | : |
Total Pages | : 15 |
Release | : 2001 |
Genre | : Multivariate analysis |
ISBN | : |
Download A Multivariate GARCH Analysis of Equity Returns and Volatility in Asian Equity Markets Book in PDF, Epub and Kindle
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 | : Andrew Worthington |
Publisher | : |
Total Pages | : 15 |
Release | : 2001 |
Genre | : Investment analysis |
ISBN | : |
Download A Multivariate GARCH Analysis of Equity Returns and Volatility in Asian Equity Markets Book in PDF, Epub and Kindle
Author | : Tro Kortian |
Publisher | : |
Total Pages | : 59 |
Release | : 1996 |
Genre | : Bonds |
ISBN | : |
Download Australian Financial Market Volatility Book in PDF, Epub and Kindle
This paper examines the behaviour of daily asset price movements in Australian bond, share and foreign exchange markets over the period 1987 to 1996, and addresses four questions concerning volatility and international market linkages. First, is there evidence of a trend increase in volatility in Australian financial markets? Second, have Australia's financial markets become more responsive to developments in counterpart foreign markets, and if so, what are the predominant foreign influences? Third, have international influences been more or less important than domestic cross-market influences? Fourth, is there evidence of directionality and other asymmetries in Australian financial market volatility? The paper finds no compelling evidence to suggest the presence of a trend increase in volatility over the period. Evidence does exist, however, of quite significant cross-country 'contagion' or 'spillover' effects on Australia's bond and equity markets. For both of these markets, the predominant foreign market influence appears to be the US. Australian bond and share market volatility is found to be higher in bear markets than in bull markets, and higher following a market fall than a market rise. Evidence supporting the presence of asymmetries in the correlation of volatilities across markets is also documented.
Author | : Emawtee Bissoondoyal-Bheenick |
Publisher | : |
Total Pages | : 36 |
Release | : 2017 |
Genre | : |
ISBN | : |
Download Volatility Spillover Between the US, Chinese and Australian Stock Markets Book in PDF, Epub and Kindle
We assess the stock market volatility spillover between three closely related countries, United States, China and Australia. This study considers industry data and hence provides a clear idea of the channels through which volatility is transmitted across these countries. We find that there is significant bilateral causality between the countries at the market index level and across most of the industries for the full sample period from July 2007 to May 2016. There is one way volatility spillover from US to China in the financial services, industrials, consumer discretionary and utilities industry. There is insignificant volatility spillover from the Australian to Chinese stock markets in financial services, telecommunications and energy industries. Once we remove the effect of the GFC, we find significant bilateral relationship across all of the industries across the three countries.