Volatility spillovers under difference in the degree of market integration: Evidence from the selected Asian and Eastern European stock markets

Abstract

This research aims to investigate volatility transmitted from the world market to ten Asian and Eastern European stock markets and from major stock market in the region to the rest of stock markets by considering their degree of integrations. To assess this, we apply GARCH(p,q) model and involve dynamic conditional correlation (DCC) model to generate the dynamic degree of integration. The monthly market indices data over the period from May 2002 to March 2018 are taken from 11 markets --5 Asian ones (China, Indonesia, Malaysia, Pakistan, and the Philippines), 5 Eastern European (Czech Republic, Poland, Romania, Russia, and Ukraine), and the world market data. Furthermore, the volatility spillover was analysed during the global financial crisis period, from The findings show that volatility spillovers from the world and the major regional markets to domestic stock markets are conditional on the degree of integrations. Specifically, there is no volatility spillover from the world and regional major markets on segmented Volatility spillovers under difference in the degree of market integration: Evidence from… 135 stock markets. In contrast, domestic stock markets which are integrated could experience the volatility spillover. Moreover, this confirms for both crisis circumstances and the overall period.

Cryptocurrencies: Hedging Opportunities From Domestic Perspectives in Southeast Asia Emerging Markets

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“…In recent contributions, Loganathan et al (2018) have employed the Threshold Error Correction (TECM) cointegration, and the nonlinear causality estimates to capture the nexus between real energy prices and financial stability for the GCC countries' tourism demand. Muharam et al (2019) investigate in a GARCH(p,q)-DCC framework volatility spillovers from the world and the major regional markets to domestic stock markets that are conditional on the degree of integrations. Bilan et al (2018) describe the impact of oil price on the Ruble-US dollar exchange rate.…”

Factors Affecting the Indonesia Stock Exchange: A Multi-Index Approach

“…In the era of globalization where economic boundaries between countries have increasingly blurred, economic activity is not only limited to the domestic environment but has been cross country. The current globalization also has quite broad implications on the flow of funding and investment as well as macroeconomic development (Muharam, Mawardi, Arfinto, & Najmudin, 2019;Robiyanto, 2018). Capital market liberalization and rapid developments in the telecommunications sector have significantly increased the ability to disseminate information between capital markets.…”

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