Volatility Linkages among India, Hong Kong and Singapore Stock Markets

Volatility Linkages among India, Hong Kong and Singapore Stock Markets
Author: Nikolaos Sariannidis
Publisher:
Total Pages: 17
Release: 2010
Genre:
ISBN:
GET BOOK

Download Volatility Linkages among India, Hong Kong and Singapore Stock Markets Book in PDF, Epub and Kindle

This paper analyzes the volatility linkages among three Asian stock exchange markets, namely India, Singapore and Hong Kong, during the period July 1997 to October 2005. We use a multivariate GARCH model to identify the source and magnitude of spillovers. The empirical analysis showed that the markets exhibit a strong GARCH effect and are highly integrated reacting to information which influence not only the mean returns but their volatility as well.


Volatility Linkages among India, Hong Kong and Singapore Stock Markets
Language: en
Pages: 17

Volatility Linkages among India, Hong Kong and Singapore Stock Markets

Authors: Nikolaos Sariannidis
Categories:
Type: BOOK - Published: 2010 - Publisher:

GET EBOOK

This paper analyzes the volatility linkages among three Asian stock exchange markets, namely India, Singapore and Hong Kong, during the period July 1997 to Octo
The Global Financial Crisis and the Integration of Emerging Stock Markets in Asia
Language: en
Pages: 26

The Global Financial Crisis and the Integration of Emerging Stock Markets in Asia

Authors: Sang Hoon Kang
Categories:
Type: BOOK - Published: 2013 - Publisher:

GET EBOOK

This study investigates the effects of volatility spillovers among five Asian stock markets (China, Hong Kong, Korea, Singapore, and Taiwan) and examines how th
Information Leadership in the Advanced Asia-Pacific Stock Markets
Language: en
Pages: 33

Information Leadership in the Advanced Asia-Pacific Stock Markets

Authors: Suk-Joong Kim
Categories:
Type: BOOK - Published: 2005 - Publisher:

GET EBOOK

This paper investigates the nature of the stock market linkages in the advanced Asia-Pacific stock markets of Australia, Hong Kong, Japan and Singapore with the
An Investigation of Return and Volatility Linkages Among Stock Markets
Language: en
Pages: 29

An Investigation of Return and Volatility Linkages Among Stock Markets

Authors: Roni Bhowmik
Categories:
Type: BOOK - Published: 2019 - Publisher:

GET EBOOK

This article investigates returns and volatility linkages among stock markets, including emerging Asian (e.g., India, China, Bangladesh, Malaysia, Philippine, a
Volatility Spillover Among Stock Markets in Six Asian Countries and the United States
Language: en
Pages: 22

Volatility Spillover Among Stock Markets in Six Asian Countries and the United States

Authors: Sang Jin Lee
Categories:
Type: BOOK - Published: 2009 - Publisher:

GET EBOOK

This article examines the volatility spillover effects among six Asian country stock markets and the United States. The six Asian countries are India, Hong Kong