Reassessment of Volatility Transmission Among South Asian Equity Markets |
AZIZ, Tariq
(Sukkur IBA University)
MARWAT, Jahanzeb (Sukkur IBA University) MUSTAFA, Sheraz (Sukkur IBA University) KUMAR, Vikesh (Sukkur IBA University) AL-HADDAD, Lara (Yarmouk University) |
1 | Alam, M. N., Alam, M. S., & Chavali, K. (2020). Stock market response during COVID-19 lockdown period in India: An event study. The Journal of Asian Finance, Economics, and Business, 7(7), 131-137. https://doi.org/10.13106/jafeb.2020.vol7.no7.131 DOI |
2 | Ali, E., & Talukder, D. K. (2009). Preferential trade among the SAARC countries: Prospects and challenges of regional integration in South Asia. Joaag, 4(1), 47-59. |
3 | Ahmed, I. (2014). Emerging Trends of Financial Markets Integration: Evidence from Pakistan. Journal of Asian Finance, Economics and Business, 1(1), 15-21. DOI |
4 | Arshanapalli, B., & Doukas, J. (1993). International stock market linkages: Evidence from the pre-and post-October 1987 period. Journal of Banking & Finance, 17(1), 193-208. DOI |
5 | Brooks, C. (2019). Introductory econometrics for finance. Cambridge, UK: Cambridge University Press. |
6 | Deep Sharma, G., & Bodla, B. S. (2011). Inter-linkages among stock markets of South Asia. Asia-Pacific. Journal of Business Administration, 3(2), 132-148. DOI |
7 | Diebold, F. X., & Yilmaz, K. (2011). Equity market spillovers in the Americas. Financial Stability, Monetary Policy, and Central Banking, 15, 199-214. |
8 | Gerrits, R.-J., & Yuce, A. (1999). Short-and long-term links among European and US stock markets. Applied Financial Economics, 9(1), 1-9. DOI |
9 | Gunasinghe, W. (2005). Behaviour of stock markets in South Asia: An econometric investigation. South Asia Economic Journal, 6(2), 165-191. DOI |
10 | Abou-Zaid, A. S. (2011). Volatility spillover effects in emerging MENA stock markets. Review of Applied Economics, 7(1076-2016-87178), 107-127. |
11 | Hamao, Y., Masulis, R. W., & Ng, V. (1990). Correlations in price changes and volatility across international stock markets. The Review of Financial Studies, 3(2), 281-307. DOI |
12 | Han, H., Kutan, A. M., & Ryu, D. (2015). Effects of the US stock market return and volatility on the VKOSPI. Economics: The Open-Access, Open-Assessment E-Journal, 9(2015-35), 1-34. |
13 | Li, Y., & Giles, D. E. (2015). Modelling volatility spillover effects between developed stock markets and Asian emerging stock markets. International Journal of Finance & Economics, 20(2), 155-177. DOI |
14 | In, F., Kim, S., Yoon, J. H., & Viney, C. (2001). Dynamic interdependence and volatility transmission of Asian stock markets: Evidence from the Asian crisis. International Review of Financial Analysis, 10(1), 87-96. DOI |
15 | Iqbal, H. R., Saeed, S. K., & Shah, S. Z. A. (2020). Structural Breaks and Volatility Spillover in South Asian Economies. SEISENSE Journal of Management, 3(1), 64-77. DOI |
16 | Khan, K., Zhao, H., Zhang, H., Yang, H., Shah, M. H., & Jahanger, A. (2020). The impact of COVID-19 pandemic on stock markets: An empirical analysis of world major stock indices. The Journal of Asian Finance, Economics, and Business, 7(7), 463-474. https://doi.org/10.13106/jafeb.2020.vol7.no7.463 DOI |
17 | Lu, X., & Gao, H. (2016). The Day of the Week Effect in Chinese Stock Market. Journal of Asian Finance, Economics and Business, 3(3), 17-26. https://doi.org/10.13106/jafeb.2016.vol3.no3.17. DOI |
18 | Majdoub, J., & Mansour, W. (2014). Islamic equity market integration and volatility spillover between emerging and US stock markets. The North American Journal of Economics and Finance, 29, 452-470. DOI |
19 | Mensi, W., Hammoudeh, S., Nguyen, D. K., & Kang, S. H. (2016). Global financial crisis and spillover effects among the US and BRICS stock markets. International Review of Economics & Finance, 42, 257-276. DOI |
20 | Mittoo, U. R. (1992). Additional evidence on integration in the Canadian stock market. The Journal of Finance, 47(5), 2035-2054. DOI |
21 | Offner, J. M. (2000). 'Territorial deregulation': local authorities at risk from technical networks. International Journal of Urban and Regional Research, 24(1), 165-182. DOI |
22 | Mukherjee, K., & Mishra, R. K. (2010). Stock market integration and volatility spillover: India and its major Asian counterparts. Research in International Business and Finance, 24(2), 235-251. DOI |
23 | Neaime, S. (2012). The global financial crisis, financial linkages and correlations in returns and volatilities in emerging MENA stock markets. Emerging Markets Review, 13(3), 268-282. DOI |
24 | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 59(2), 347-370. DOI |
25 | Rejeb, A. B., & Arfaoui, M. (2016). Financial market interdependencies: A quantile regression analysis of volatility spillover. Research in International Business and Finance, 36, 140-157. DOI |
26 | Sharma, G. D., & Bodla, B. (2011). Inter‐linkages among stock markets of South Asia. Asia-Pacific Journal of Business Administration, 3(2), 132-148. DOI |
27 | Singh, P., Kumar, B., & Pandey, A. (2010). Price and volatility spillovers across North American, European and Asian stock markets. International Review of Financial Analysis, 19(1), 55-64. DOI |
28 | Wei, K. J., Liu, Y. J., Yang, C. C., & Chaung, G. S. (1995). Volatility and price change spillover effects across the developed and emerging markets. Pacific-Basin Finance Journal, 3(1), 113-136. DOI |
29 | Worthington, A. C., & Higgs, H. (2007). Evidence of financial integration in Asia: an empirical application of panel unit root tests and multivariate cointegration and causality procedures. University of Wollongong, School of Accounting and Finance Working Paper Series No. 07/09. |
30 | Yang, S. Y. (2005). A DCC analysis of international stock market correlations: the role of Japan on the Asian Four Tigers. Applied Financial Economics Letters, 1(2), 89-93. DOI |
31 | Yavas, B. F., & Dedi, L. (2016). An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries. Research in International Business and Finance, 37, 583-596. DOI |
32 | Yu, W., & Yoon, Y. (2019). The Volatility Comovement among Stock Markets in East Asian Countries. Chulalongkorn University. |
33 | Zhang, W., Zhuang, X., Lu, Y., & Wang, J. (2020). Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework. International Review of Financial Analysis, 101454. DOI |