Emerging markets and volatility spillover effects remained a highly focused
area in the field of financial economics. Therefore, we have empirically
testified the volatility spillover effects between markets of emerging economies i.e Pakistan,
China, Bangladesh, and India during the period from 1st January 2000 to 31st December 2015.
We used Multivariate GARCH and causality models to identify the spillover effects. It is
concluded that there exists significant evidence of spillover effect from the market of Pakistan to
India, India to China and from China to Pakistan. However, the larger negative shift in the
volatility occurs more frequently than positive shocks. Hence it is concluded that the impact of
own spillovers of the markets is much higher than the impact of cross-market spillovers during
1-Kashif Hamid Lecturer, Institute of Business Management Sciences, University of Agriculture, Faisalabad, Punjab, Pakistan. 2-Muhammad Mudasar Ghafoor Assistant Professor, Department of Commerce, University of the Punjab, Jhelum Campus, Jhelum, Punjab, Pakistan. 3-Muhammad Yasir Saeed Ph.D Scholar, Department of Management Sciences, Preston University, Islamabad, Pakistan.