Return volatility transmission among Asian stock exchanges: Evidence from a heterogeneous market outlook
- Title
- Return volatility transmission among Asian stock exchanges: Evidence from a heterogeneous market outlook
- Creator
- Mishra A.; Sakuja V.
- Description
- . This pragmatic research strives to reveal the return volatility transmission throughout Asian stock exchanges, by employing variance decomposition technique of Vector autoregressive (VAR) based framework. Additionally, the current examination exerts a Granger causality approach to detect short-term cause and effect among the stock exchanges. The consequence of volatility spill-over exhibits the dominancy of Indian, Chinese and Japanese exchanges in terms of net volatility transmitter. Further, it is found that Korean, Thai, and Malaysian stock exchanges seem to be net receiver of volatility in Asia. Additionally, the outcome of current investigation reveals neutrality of Bangladeshi and Pakistani stock exchange, as the returns volatility of these stock exchange are not influenced by any other Asian stock exchanges. Furthermore, the result of Granger causality analysis signifies the existence of unidirectional causality among the Asian stock exchanges. In terms of policy implication, it is imperative for investors and policymakers to closely monitor the behaviour of the Japanese stock exchange, as it plays a significant role as a net transmitter of volatility to other stock exchanges in Asia. By keeping a vigilant eye on the Japanese stock exchange, investors can better assess and manage potential risks and opportunities in the region. 2023 IOS Press. All rights reserved.
- Source
- Risk and Decision Analysis, Vol-9, No. 45749, pp. 73-85.
- Date
- 2023-01-01
- Publisher
- IOS Press BV
- Subject
- : Stock exchange; Asian stock exchange; VAR; volatility Spill-over
- Coverage
- Mishra A., Department of Economics, Birla Global University, Bhubaneswar, India; Sakuja V., Department of Economic, CHRIST (Deemed to be University), Delhi NCR, India
- Rights
- Restricted Access
- Relation
- ISSN: 15697371
- Format
- Online
- Language
- English
- Type
- Article
Collection
Citation
Mishra A.; Sakuja V., “Return volatility transmission among Asian stock exchanges: Evidence from a heterogeneous market outlook,” CHRIST (Deemed To Be University) Institutional Repository, accessed February 24, 2025, https://archives.christuniversity.in/items/show/13852.