An exploration on volatility across India and some developed and emerging equity markets
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(1), pages 122-150, February.
- Olivier Ledoit & Pedro Santa-Clara & Michael Wolf, 2003.
"Flexible Multivariate GARCH Modeling with an Application to International Stock Markets,"
The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 735-747, August.
- Ledoit, Olivier & Santa-Clara, Pedro & Wolf, Michael, 1999. "Flexible Multivariate GARCH Modeling With an Application to International Stock Markets," University of California at Los Angeles, Anderson Graduate School of Management qt93s6p8gb, Anderson Graduate School of Management, UCLA.
- Olivier Ledoit & Pedro Santa Clara & Michael Wolf, 2001. "Flexible multivariate GARCH modeling with an application to international stock markets," Economics Working Papers 578, Department of Economics and Business, Universitat Pompeu Fabra.
- Kim, Woochan & Wei, Shang-Jin, 2002.
"Foreign portfolio investors before and during a crisis,"
Journal of International Economics, Elsevier, vol. 56(1), pages 77-96, January.
- Woochan Kim & Shang-Jin Wei, 1999. "Foreign Portfolio Investors before and during a Crisis," CID Working Papers 06A, Center for International Development at Harvard University.
- Woochan Kim & Shang-Jin Wei, 1999. "Foreign Portfolio Investors before and during a Crisis," CID Working Papers 6, Center for International Development at Harvard University.
- Woochan Kim & Shang-Jin Wei, 1999. "Foreign Portfolio Investors Before and During a Crisis," NBER Working Papers 6968, National Bureau of Economic Research, Inc.
- Woochan Kim & Shang-Jin Wei, 1999. "Foreign Portfolio Investors Before and during a Crisis," OECD Economics Department Working Papers 210, OECD Publishing.
- Wei, S.J. & Kim, W., 1999. "Foreign Portfolio Investors Before and During a Crisis," Papers 6, Chicago - Graduate School of Business.
- Carmen Broto & Javier Díaz-Cassou & Aitor Erce-Domínguez, 2008. "Measuring and explaining the volatility of capital flows towards emerging countries," Working Papers 0817, Banco de España.
- Bekaert, Geert & Harvey, Campbell R. & Lumsdaine, Robin L., 2002.
"Dating the integration of world equity markets,"
Journal of Financial Economics, Elsevier, vol. 65(2), pages 203-247, August.
- Geert Bekaert & Campbell R. Harvey & Robin L. Lumsdaine, 1998. "Dating the Integration of World Equity Markets," NBER Working Papers 6724, National Bureau of Economic Research, Inc.
- Gamini Premaratne & Lakshmi Bala, 2004. "Stock Market Volatility: Examining North America, Europe and Asia," Econometric Society 2004 Far Eastern Meetings 479, Econometric Society.
- Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," The Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
- Choe, Hyuk & Kho, Bong-Chan & Stulz, Rene M., 1999.
"Do foreign investors destabilize stock markets? The Korean experience in 1997,"
Journal of Financial Economics, Elsevier, vol. 54(2), pages 227-264, October.
- Hyuk Choe & Bong-Chan Kho & Rene M. Stulz, 1998. "Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997," NBER Working Papers 6661, National Bureau of Economic Research, Inc.
- Mr. Luis Catão & Mr. Robin Brooks, 2000. "The New Economy and Global Stock Returns," IMF Working Papers 2000/216, International Monetary Fund.
- repec:cor:louvrp:-1847 is not listed on IDEAS
- K Kiran Kumar & Chiranjit Mukhopadhyay, 2007. "Volatility Spillovers from the US to Indian Stock Market: A Comparison of GARCH Models," The IUP Journal of Financial Economics, IUP Publications, vol. 0(4), pages 7-30, December.
- Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
- Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-350, July.
- Ghosh, Asim & Saidi, Reza & Johnson, Keith H, 1999. "Who Moves the Asia-Pacific Stock Markets--US or Japan? Empirical Evidence Based on the Theory of Cointegration," The Financial Review, Eastern Finance Association, vol. 34(1), pages 159-170, February.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Tom Jacob & Rincy Raphael & Ajina V.S., 2022. "An Econometric Study Of Herding Behaviour Of Domestic Institutional Investors In Indian Capital Market: An Auto Regressive Distributed Lag Approach," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 29, pages 29-46, June.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008.
"Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience,"
Working papers
2008-49, University of Connecticut, Department of Economics.
- Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2009. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working Papers 0905, University of Nevada, Las Vegas , Department of Economics.
- Baele, Lieven, 2005.
"Volatility Spillover Effects in European Equity Markets,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(2), pages 373-401, June.
- L. Baele, 2003. "Volatility Spillover Effects in European Equity Markets," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 03/189, Ghent University, Faculty of Economics and Business Administration.
- Baele, L., 2003. "Volatility Spillover Effects in European Equity Markets," Discussion Paper 2003-114, Tilburg University, Center for Economic Research.
- Kim, Bong-Han & Kim, Hyeongwoo & Lee, Bong-Soo, 2015.
"Spillover effects of the U.S. financial crisis on financial markets in emerging Asian countries,"
International Review of Economics & Finance, Elsevier, vol. 39(C), pages 192-210.
- Bong-Han Kim & Hyeongwoo Kim, 2011. "Spillover Effects of the US Financial Crisis on Financial Markets in Emerging Asian Countries," Auburn Economics Working Paper Series auwp2011-04, Department of Economics, Auburn University.
- Bong-Han Kim & Hyeongwoo Kim & Bong-Soo Lee, 2012. "Spillover Effects of the U.S. Financial Crisis on Financial Markets in Emerging Asian Countries," Auburn Economics Working Paper Series auwp2012-06, Department of Economics, Auburn University.
- Bong-Han Kim & Hyeongwoo Kim & Bong-Soo Lee, 2015. "Spillover Effects of the U.S. Financial Crisis on Financial Markets in Emerging Asian Countries," Auburn Economics Working Paper Series auwp2015-01, Department of Economics, Auburn University.
- Panayiotis F. Diamandis & Anastassios A. Drakos & Georgios P. Kouretas & Leonidas P. Zarangas, 2012.
"Asset allocation in the Athens stock exchange: a variance sensitivity analysis,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 17(2), pages 167-181, April.
- Panayiotis Diamandis & Georgios Kouretas & Leonidas Zarangas, 2006. "Asset allocation in the Athens Stock Exchange: A variance sensitivity analysis," Working Papers 0602, University of Crete, Department of Economics.
- Calvet, Laurent E. & Fisher, Adlai J. & Thompson, Samuel B., 2006.
"Volatility comovement: a multifrequency approach,"
Journal of Econometrics, Elsevier, vol. 131(1-2), pages 179-215.
- Laurent E. Calvet & Adlai J. Fisher & Samuel B. Thompson, 2004. "Volatility Comovement: A Multifrequency Approach," NBER Technical Working Papers 0300, National Bureau of Economic Research, Inc.
- Laurent-Emmanuel Calvet & Adlai J. Fisher & Samuel B. Thompson, 2006. "Volatility Comovement: a multifrequency approach," Post-Print hal-00459667, HAL.
- Christodoulakis, George A., 2007. "Common volatility and correlation clustering in asset returns," European Journal of Operational Research, Elsevier, vol. 182(3), pages 1263-1284, November.
- Morana, Claudio, 2019.
"Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices,"
Econometrics and Statistics, Elsevier, vol. 12(C), pages 42-65.
- Claudio, Morana, 2018. "Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices," Working Papers 382, University of Milano-Bicocca, Department of Economics, revised 04 Jun 2018.
- Abdul Hakim & Michael McAleer, 2010.
"Modelling the interactions across international stock, bond and foreign exchange markets,"
Applied Economics, Taylor & Francis Journals, vol. 42(7), pages 825-850.
- Abdul Hakim & Michael McAleer, 2009. "Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets," CIRJE F-Series CIRJE-F-663, CIRJE, Faculty of Economics, University of Tokyo.
- Abdul Hakim & Michael McAleer, 2009. "Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets," CARF F-Series CARF-F-170, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Long, Xiangdong & Su, Liangjun & Ullah, Aman, 2011.
"Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 109-125.
- Xiangdong Long & Liangjun Su & Aman Ullah, 2011. "Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(1), pages 109-125, January.
- Hassan Mohammadi & Yuting Tan, 2015. "Return and Volatility Spillovers across Equity Markets in Mainland China, Hong Kong and the United States," Econometrics, MDPI, vol. 3(2), pages 1-18, April.
- Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
- Farhat Iqbal, 2013. "Robust estimation of the simplified multivariate GARCH model," Empirical Economics, Springer, vol. 44(3), pages 1353-1372, June.
- Rim Ammar Lamouchi & Ruba Khalid Shira, 2023. "Heterogeneous Behavior and Volatility Transmission in the Forex Market using High-Frequency Data," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(3), pages 1-3.
- Wang, Yudong & Wu, Chongfeng, 2012. "Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?," Energy Economics, Elsevier, vol. 34(6), pages 2167-2181.
- Bram Daelemans & Joseph P. Daniels & Farrokh Nourzad, 2018. "Free Trade Agreements and Volatility of Stock Returns and Exchange Rates: Evidence from NAFTA," Open Economies Review, Springer, vol. 29(1), pages 141-163, February.
- Braione, Manuela & Scholtes, Nicolas K., 2014. "Construction of value-at-risk forecasts under different distributional assumptions within a BEKK framework," LIDAM Discussion Papers CORE 2014059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Alotaibi, Abdullah R. & Mishra, Anil V., 2015.
"Global and regional volatility spillovers to GCC stock markets,"
Economic Modelling, Elsevier, vol. 45(C), pages 38-49.
- Alotaibi, Abdullah R & Mishra, Anil V, 2015. "Global and Regional Volatility Spillovers to GCC Stock Markets," MPRA Paper 61101, University Library of Munich, Germany.
- Dean, Warren G. & Faff, Robert W. & Loudon, Geoffrey F., 2010. "Asymmetry in return and volatility spillover between equity and bond markets in Australia," Pacific-Basin Finance Journal, Elsevier, vol. 18(3), pages 272-289, June.
- Pelletier, Denis, 2006.
"Regime switching for dynamic correlations,"
Journal of Econometrics, Elsevier, vol. 131(1-2), pages 445-473.
- Denis Pelletier, 2004. "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings 230, Econometric Society.
- Gan, Li & Hsiao, Cheng & Xu, Shu, 2014. "Model specification test with correlated but not cointegrated variables," Journal of Econometrics, Elsevier, vol. 178(P1), pages 80-85.
More about this item
Keywords
Volatility transmission; Indian equity market; market integration; volatility linkage;All these keywords.
JEL classification:
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:unt:jnapdj:v:18:y:2011:i:2:p:79-103. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Macroeconomic Policy and Development Division, ESCAP (email available below). General contact details of provider: https://edirc.repec.org/data/escapth.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.