Transmission of Volatility across Asia-Pacific Stock Markets: Is There a Pattern?

Mitra, Amarnath and Iyer, Vishwanathan (2017) Transmission of Volatility across Asia-Pacific Stock Markets: Is There a Pattern? Transmission of Volatility across Asia-Pacific Stock Markets: Is There a Pattern?, 6 (1). pp. 42-54.

Text A249_Viyer_Transmission of Volatility across Asia Pacific Stock Markets - IIMK SMR.pdf Restricted to Registered users only Download (328kB) | Request a copy

Abstract

The present study attempts to track the transmission of volatility across 11 international stock markets in the Asia-Pacific region over a period of 20 years, which includes both crisis (i.e., contagion form) and non-crisis periods. It also investigates whether the global transmission of volatility follows a pattern. The study contributes to the literature in two ways: (a) it provides a historical map of volatility transmission in the Asia-Pacific region and (b) it identifies the path and pattern of volatility spillover across stock markets in the Asia-Pacific region.

Item Type:	Article
Uncontrolled Keywords:	Volatility; spillover; financial contagion; bivariate EGARCH; volatility pattern
Subjects:	Finance > Financial Management/Corporate Finance
Divisions:	Finance and Strategy
Depositing User:	Ms. Sachitha R
Date Deposited:	19 Sep 2018 03:32
Last Modified:	19 Sep 2018 03:35
URI:	http://tapmi.informaticsglobal.com/id/eprint/109

Actions (login required)

View Item

Downloads