RETURN AND VOLATILITY LINKAGES ACROSS SELECTED SOUTHEAST ASIAN COUNTRIES

This study examines return-volatility linkages among selected Southeast Asian countries. Using monthly stock data, VAR and EGARCH models are estimated to investigate the impact of one country's returns on other countries, and volatility spillover from one stock market to another. The results from th... Full description

This study examines return-volatility linkages among selected Southeast Asian countries. Using monthly stock data, VAR and EGARCH models are estimated to investigate the impact of one country's returns on other countries, and volatility spillover from one stock market to another. The results from the EGARCH model indicate that returns in one country are affected by returns in other countries; however, the evidence on volatility spillover is mixed. While the VAR model provides strong support for causal linkages of volatility among these five markets, the EGARCH model provides only weak support for volatility spillover. The study's findings should provide valuable insights into the transmission of volatility among countries in the region. [PUBLICATION ABSTRACT]