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EMERGING MARKETS AND VOLATILITY SPILLOVER EFFECTS EMPIRICAL EVIDENCE FROM REGIONAL EMERGING ECONOMIES OF PAKISTAN CHINA INDIA AND BANGLADESH

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09 Pages : 102-116

http://dx.doi.org/10.31703/ger.2020(V-I).09      10.31703/ger.2020(V-I).09      Published : Mar 2020

Emerging Markets and Volatility Spillover Effects: Empirical Evidence from Regional Emerging Economies of Pakistan, China, India, and Bangladesh

Abstract

    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 this period.

    Emerging Markets. Volatility Spillover Effects, Multivariate GARCH Models

    (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.
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Cite this article

APA

    APA : Hamid, K., Ghafoor, M. M., & Saeed, M. Y. (2020). Emerging Markets and Volatility Spillover Effects: Empirical Evidence from Regional Emerging Economies of Pakistan, China, India, and Bangladesh. Global Economics Review, V(I), 102-116. https://doi.org/10.31703/ger.2020(V-I).09

CHICAGO

    CHICAGO : Hamid, Kashif, Muhammad Mudasar Ghafoor, and Muhammad Yasir Saeed. 2020. "Emerging Markets and Volatility Spillover Effects: Empirical Evidence from Regional Emerging Economies of Pakistan, China, India, and Bangladesh." Global Economics Review, V (I): 102-116 doi: 10.31703/ger.2020(V-I).09

HARVARD

    HARVARD : HAMID, K., GHAFOOR, M. M. & SAEED, M. Y. 2020. Emerging Markets and Volatility Spillover Effects: Empirical Evidence from Regional Emerging Economies of Pakistan, China, India, and Bangladesh. Global Economics Review, V, 102-116.

MHRA

    MHRA : Hamid, Kashif, Muhammad Mudasar Ghafoor, and Muhammad Yasir Saeed. 2020. "Emerging Markets and Volatility Spillover Effects: Empirical Evidence from Regional Emerging Economies of Pakistan, China, India, and Bangladesh." Global Economics Review, V: 102-116

MLA

    MLA : Hamid, Kashif, Muhammad Mudasar Ghafoor, and Muhammad Yasir Saeed. "Emerging Markets and Volatility Spillover Effects: Empirical Evidence from Regional Emerging Economies of Pakistan, China, India, and Bangladesh." Global Economics Review, V.I (2020): 102-116 Print.

OXFORD

    OXFORD : Hamid, Kashif, Ghafoor, Muhammad Mudasar, and Saeed, Muhammad Yasir (2020), "Emerging Markets and Volatility Spillover Effects: Empirical Evidence from Regional Emerging Economies of Pakistan, China, India, and Bangladesh", Global Economics Review, V (I), 102-116

TURABIAN

    TURABIAN : Hamid, Kashif, Muhammad Mudasar Ghafoor, and Muhammad Yasir Saeed. "Emerging Markets and Volatility Spillover Effects: Empirical Evidence from Regional Emerging Economies of Pakistan, China, India, and Bangladesh." Global Economics Review V, no. I (2020): 102-116. https://doi.org/10.31703/ger.2020(V-I).09