Volatility Linkages among India, Hong Kong and Singapore Stock Markets

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

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Year of publication:	[2010]
Authors:	Sariannidis, Nikolaos
Other Persons:	Konteos, George (contributor) ; Drimbetas, Evangelos (contributor)
Publisher:	[2010]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (17 p)
Type of publication:	Book / Working Paper
Notes:	In: International Research Journal of Finance and Economics, Vol. 58, pp. 141-149 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 10, 2009 erstellt
Classification:	G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets ; C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012757901