International Information Spillovers and Asymmetric Volatility in South Asian Stock Markets

被引:1
|
作者
Gajurel, Dinesh [1 ,2 ]
Chawla, Akhila [1 ]
机构
[1] Univ New Brunswick, Fac Management, Fredericton, NB E3B 5A3, Canada
[2] Australian Natl Univ, Ctr Appl Macroecon Anal, Canberra, ACT 2600, Australia
关键词
spillover effects; comovement; asymmetric volatility; Bangladesh; India; Nepal; Pakistan; Sri Lanka; FINANCIAL CRISIS; HERDING BEHAVIOR; EQUITY MARKETS; INTEGRATION; RETURNS; TRANSMISSION; MODELS; PREDICTABILITY; VARIANCES; CONTAGION;
D O I
10.3390/jrfm15100471
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This is the first comprehensive study to investigate the dynamics of international information spillovers, regional linkages and fundamental forces driving return volatility in the SAARC (South Asian Association for Regional Cooperation) member nation equity markets. We propose a multi-factor model nested within the generalized autoregressive conditional heteroskedasticity framework and enlist comprehensive equity market data. While modeling, we consider global, regional (Asia), and largest neighboring (India) equity markets as sources of information spillover. Our results show that equity returns in all these South Asian markets have positive autocorrelation. The equity markets of India, Pakistan, and Sri Lanka have some degree of global integration; however, their degree of regional integration is comparatively higher. The stock markets of Bangladesh and Nepal, in contrast, lack both global and regional integration. We find limited evidence of neighborhood (India) spillover effect on other markets in the sample. The stock markets of Bangladesh, India and Pakistan stock markets exhibit asymmetric volatility responses, while Nepal exhibits an inverted asymmetric volatility response, and in contrast Sri Lanka exhibits a symmetric volatility response to return shocks. Finally, most of these markets experience volatility spillover effects from the US, Asia, and India stock markets.
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收藏
页数:18
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