This article investigates returns and volatility linkages among stock markets, including emerging Asian (e.g., India … volatility. Finally, the Vector Autoregressive (VAR) model is used to study the transmission dynamics in the presence of … unexpected shocks. The evidence suggests that both the returns and volatility linkages exist between the emerging Asia and the …

In this paper, we analyse historical stock market volatility and co-movement behaviour of three emerging markets and … exhibits higher stock market volatility during the study period and these volatilities increases during the global financial …, we do not find any evidence of a statistically significant correlation coefficient between the volatility measures and …