returnandvolatilityspilloverseffectsstudyofasianemergingstockmarkets

	returnandvolatilityspilloverseffectsstudyofasianemergingstockmarkets
	Roni Bhowmik 2; Abbas Ghulam 1
刊名	journalofsystemsscienceandinformation
	2018
卷号	6 期号:2 页码:97
ISSN号	1478-9906
英文摘要	This paper examines the extent of contagion and interdependence across the six Asian emerging countries stock markets (e.g., Bangladesh, China, India, Malaysia, the Philippine, and South Korea) and then try to quantify the extent of the Asian emerging market fluctuations which are described by intra-regional contagion effect. These markets experienced both fast growth and key upheaval during the sample period, and thus, provide potentially rich information on the nature of border market interactions. Using the daily stock market index data from January 2002 to December 2016 (breaking the 15 years data set into three sub periods; pre-crisis, crisis, and post crisis periods); particularly make attention to the global financial crisis of 2007～2008. The return and volatility spillovers are modeled through the GARCH (generalized autoregressive conditional heteroscedasticity), pairwise Granger causality tests, and the forecast error variance decomposition in a generalized VAR (vector auto regression) models. This paper shows that volatility and return spillovers behave very differently over time, during the pre-crisis, crisis, and post crisis periods. Importantly, Asian emerging stock markets interaction is less before the global financial crisis period. The return and volatility spillover indices touch their respective historical peaks during the global financial crisis 2007～2008, however Bangladeshi market faces this condition in 2009～2010.
语种	英语
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/41411]
专题	中国科学院数学与系统科学研究院
作者单位	1.中国科学院大学 2.中国科学院数学与系统科学研究院
推荐引用方式 GB/T 7714	Roni Bhowmik,Abbas Ghulam. returnandvolatilityspilloverseffectsstudyofasianemergingstockmarkets[J]. journalofsystemsscienceandinformation,2018,6(2):97.
APA	Roni Bhowmik,&Abbas Ghulam.(2018).returnandvolatilityspilloverseffectsstudyofasianemergingstockmarkets.journalofsystemsscienceandinformation,6(2),97.
MLA	Roni Bhowmik,et al."returnandvolatilityspilloverseffectsstudyofasianemergingstockmarkets".journalofsystemsscienceandinformation 6.2(2018):97.