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The Dynamics of stock market volatility An analysis of spillover effect in asian market
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| Stock markets serve as the economic barometers. The relationship between the two capital markets can be studied as a proxy to understand the relation between the two economies. The movement of stock market not only reflects the nation's economic condition but also the confidence level the domestic and foreign investors have in an economy. The increase in integration between the global economies has resulted in convergence and co movement. The purpose of this study is to examine the presence of volatility and test the uniformity in the extent of volatility, to investigate the possible contagion effect between the selected developed and emerging market, to check for the spillover effect between the Indian stock market and the other five sampled markets and finally inspect the relationship between the volume and volatility in the capital markets of Hong Kong, Japan, Singapore, India, China and Philippines. Stratified- convenience sampling technique is used to pick the samples and daily index values are taken from the major index of these countries for a period of seven years. The time series data were tested for stationarity and normality using ADF, PP tests and Jarque-Bera test. Returns, SD, ARIMA, ARCH, GARCH, BEKK-GARCH, Granger causality test, VAR model and Variance decomposition techniques are used for the analysis. |
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