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Volatility transmission in regional Asian stock markets
Institution:1. Department of Finance and Insurance, Nanjing University, PR China;2. School of Management, University of Plymouth, UK;1. RMIT University, Melbourne, Australia;2. Shaheed Zulfikar Ali Bhutto Institute of Science and Technology (SZABIST), Islamabad, Pakistan
Abstract:This study aims to investigate the presence of volatility transmission among regional equity markets of Pakistan, China, India, and Sri Lanka. Moreover for developed countries, the stock indices of USA, UK, Singapore, and Japan have been considered. If countries of the same region have a long run relationship then chances of an optimum currency area increases whereas, a diversification strategy to reduce risk is not workable. Results among the developed and Asian countries show that volatility transmission is present between friendly countries of different regions with economic links. We also find some evidence of transmission of volatility between countries which are on unfriendly terms.
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