Examining the role of jumps on the returns and integrated volatility of emerging Asian stock markets during global financial crises and Covid-19: an application of the swap variance jump approach

This study aims to identify stock price jumps and examine stock returns dynamics in emerging Asian stock markets. Additionally, the study employs the Swap Variance estimation approach to measure integrated volatility and determine monthly jumps. Specifically, three diverse approaches are used to identify monthly integrated volatility: realized volatility, bi-power variations, and tri-power variations, using daily data from February 1, 2001, to October 30, 2022. The findings of the study indicate that jumps occur in all markets, leading to increased market volatility. However, jumps are more frequent, particularly during the Global Financial Crisis of 2008 and the COVID-19 periods, which significantly amplify the overall volatility of emerging Asian equity markets. Furthermore, positive jumps are more common than negative jumps, although negative jumps tend to have a greater magnitude than positive jumps. Moreover, abnormal returns are higher during jump periods compared to non-jump periods. Negative jumps particularly impact stock markets where returns are lower and volatility is higher on regular days. However, stock markets with moderate volatility during regular days tend to earn higher returns in jump periods. Finally, when negative jumps occur, the integrated volatility is higher compared to positive jumps, and this trend is observed across all markets. The findings of this study offer valuable insights for policymakers, portfolio managers, and stock market investors.