Open AccessVolatility Linkages between Equity Markets of Pakistan, India, Singapore and Hong Kong: A GARCH BEKK Approach
Author(s) -
Muhammad Junaid Iqbal,
Afsheen Abrar,
Nagina Jamil,
Abid Ali Shah,
AhsanulHaqSatti
Publication year - 2012
Publication title -
journal of economics and behavioral studies
Language(s) - English
Resource type - Journals
ISSN - 2220-6140
DOI - 10.22610/jebs.v4i1.301
Subject(s) - volatility (finance) , equity (law) , stock exchange , financial economics , autoregressive conditional heteroskedasticity , economics , stock (firearms) , spillover effect , emerging markets , portfolio , stock market index , monetary economics , business , stock market , finance , geography , macroeconomics , archaeology , political science , law , context (archaeology)
The purpose of current study is to explore the volatility linkages between four Asian equity markets, which arePakistan (Karachi Stock Exchange), India (Bombay Stock Exchange), Hong Kong (Hang Sang Index) and Singapore (Strait Time Index). We estimate Multivariate GARCH BEKK model using weekly returns from January 2000 to August 2011.Direct evidences of linkages are found among all markets with respect to conditional mean returns and volatility.Own volatility spillover is found greater than cross volatility spillover in all emerging and developed economies.The insinuation of this study is that overseas investors may take advantage from the decrease of uncertainty by accumulating the stocks in the emerging markets to their investment portfolio.