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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

Journal Title: The Asia Pacific journal of economics & business 2008-12-01, Vol.12 (2), p.26
Main Author: Rafiqul Bhuyan
Other Authors: Syed Ahmed , Mohammed Ansari
Format: Electronic Article Electronic Article
Language: English
Subjects:
Quelle: Alma/SFX Local Collection
Publisher: Perth: Asia Pacific Journal of Economics and Business
ID: ISSN: 1326-8481
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title: RETURN AND VOLATILITY LINKAGES ACROSS SELECTED SOUTHEAST ASIAN COUNTRIES
format: Article
creator:
  • Rafiqul Bhuyan
  • Syed Ahmed
  • Mohammed Ansari
subjects:
  • Econometrics
  • Emerging markets
  • Impact analysis
  • Institutional investments
  • International finance
  • Liberalization
  • Mathematical models
  • Rates of return
  • Regulation of financial institutions
  • Securities markets
  • Stock exchanges
  • Studies
  • Volatility
ispartof: The Asia Pacific journal of economics & business, 2008-12-01, Vol.12 (2), p.26
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]
language: eng
source: Alma/SFX Local Collection
identifier: ISSN: 1326-8481
fulltext: fulltext
issn:
  • 1326-8481
url: Link


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descriptionThis 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]
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subjectEconometrics ; Emerging markets ; Impact analysis ; Institutional investments ; International finance ; Liberalization ; Mathematical models ; Rates of return ; Regulation of financial institutions ; Securities markets ; Stock exchanges ; Studies ; Volatility
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abstractThis 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]
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