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Return and volatility interdependences in up and down markets across developed and emerging countries

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  • Kundu, Srikanta
  • Sarkar, Nityananda

Abstract

In this paper, we have used daily stock returns data from two developed and four emerging countries to analyse the behaviour of returns and volatility spillovers in two different stock market conditions called the up and down markets. To this end, we have proposed a VAR-TGARCH-M type model and incorporated the smooth transition behaviour to switch from one market condition to another. The results show that, in general, there is significant and asymmetric effect of returns and volatility of one market on another in up and down market conditions, but the sign of the effect varies over pairs of countries concerned and also of market conditions.

Suggested Citation

  • Kundu, Srikanta & Sarkar, Nityananda, 2016. "Return and volatility interdependences in up and down markets across developed and emerging countries," Research in International Business and Finance, Elsevier, vol. 36(C), pages 297-311.
    • Handle: RePEc:eee:riibaf:v:36:y:2016:i:c:p:297-311
    DOI: 10.1016/j.ribaf.2015.09.023
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    Keywords

    Up-down market; Risk-return relationship; DCC; MGARCH; Spillover effects;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G1 - Financial Economics - - General Financial Markets

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