Return volatility transmission among Asian stock exchanges: Evidence from a heterogeneous market outlook
Amritkant Mishra,
Vaishnavi Sakuja
Abstract:This pragmatic research strives to reveal the return volatility transmission throughout Asian stock exchanges, by employing variance decomposition technique of Vector autoregressive (VAR) based framework. Additionally, the current examination exerts a Granger causality approach to detect short-term cause and effect among the stock exchanges. The consequence of volatility spill-over exhibits the dominancy of Indian, Chinese and Japanese exchanges in terms of net volatility transmitter. Further, it is found that… Show more
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