Volatility Linkages between Equity Markets of Pakistan, India, Singapore and Hong Kong: A GARCH BEKK Approach

Return and Volatility Spillovers across Equity Markets in Mainland China, Hong Kong and the United States

Examinations of the dynamics of daily returns and volatility in stock markets of the U.S., Hong Kong and mainland China (Shanghai and Shenzhen) over 2 January 2001 to 8 February 2013 suggest: (1) evidence of unidirectional return spillovers from the U.S. to the other three markets; but no spillover between Hong Kong and either of the two mainland China markets; (2) evidence of unidirectional AR...

A multivariate GARCH analysis of equity returns and volatility in Asian equity markets

This paper examines the transmission of equity returns and volatility among Asian equity markets and investigates the differences that exist in this regard between the developed and emerging markets. Three developed markets (Hong Kong, Japan and Singapore) and six emerging markets (Indonesia, Korea, Malaysia, the Philippines, Taiwan and Thailand) are included in the analysis. A multivariate gen...

Linkages between Shanghai and Hong Kong stock indices

This paper examines the dynamics of the linkages between Shanghai and Hong Kong stock indices. While the volatility linkage is analysed by a multivariate GARCH framework, the dependence of returns is examined by a copula approach. Eight different copula functions are applied in this study including two time varying ones which capture the time varying process of the linkage. The result shows sig...

Beyond Singapore: Hong Kong and Asian biodiversity.

Stock Market Volatility: Examining North America, Europe and Asia

An understanding of volatility in stock markets is important for determining the cost of capital and for assessing investment and leverage decisions as volatility is synonymous with risk. Substantial changes in volatility of financial markets are capable of having significant negative effects on risk averse investors. Using daily returns from 1992 to 2002, we investigate volatility co-movement ...