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Volatility Spillovers across Major Emerging Stock Markets

Emerging stock markets of Asia have become a matter of interest for international financial researchers and policy-makers during the last couple of decades. Series of reforms, increasing financial transparency and decreasing restrictions on transactions have made these markets better diversification opportunities for international investors. This paper examines independently as well the linkages of stock markets across the selected Asian countries. The volatility spillover is modelled through an asymmetric multivariate generalized autoregressive conditional heteroscedastic model. In large number of empirical studies of risk return analysis, it is observed that economic stability and good perspectives have been key assets for the development of emerging markets. Diversification of funds to reduce portfolio risk is also one of the point of attraction to domestic and foreign institutional investors. In this work, risk and uncertainty is studied for selected stock markets of emerging economies of Asia. Data of daily stock prices of selected markets is collected for recent decade and detail autoregressive conditional heteroskedasticity (ARCH) and its generalised models are used to estimate conditional and asymmetric volatilities.