文章基本信息

标题：Reassessment of Volatility Transmission Among South Asian Equity Markets
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作者：Tariq AZIZ ; Jahanzeb MARWAT ; Sheraz MUSTAFA 等
期刊名称：Journal of Asian Finance, Economics and Business
印刷版ISSN：2288-4637
电子版ISSN：2288-4645
出版年度：2021
卷号：8
期号：1
页码：587-597
DOI：10.13106/jafeb.2021.vol8.no1.587
语种：English
出版社：Korean Distribution Science Association
摘要：This study investigates the nexus among the South Asian economies. Effects of shocks in the equity market of one country on the equity market of the other country are examined. For empirical analysis, the time series monthly data is used for the period from February 2013 to August 2019. The study focuses on the four larger economies of the region, namely, India, Bangladesh, Pakistan, and Sri Lanka. To investigate for asymmetric effects of positive and negative shocks, EGARCH model is used. The findings show the mix nature of the spillovers between the various pairs of countries. The equity market of Pakistan has two-way spillover effects with the equity market of Bangladesh, but has no association with the equity markets of India and Sri Lanka. The volatility in the equity market of India significantly influences the volatility of the financial markets of Bangladesh and Sri Lanka. Similarly, the capital market of Sri Lanka has a negative association with the equity market of India as well as Bangladesh, but does not affect the equity market of any other country. These findings validate the argument in the literature that geographic location influences the nexus among equity markets. The findings are important for policy-makers and investors.
关键词：Volatility Spillover;Volatility Persistence;GARCH;EGARCH