Author

  • Muhammad Junaid Iqbal

    • ShaheedZulfikar Ali Bhutto Institute of Science and Technology, Islamabad, Pakistan
    • Pakistan

  • Sadia Rafique

    • ShaheedZulfikar Ali Bhutto Institute of Science and Technology, Islamabad, Pakistan
    • Pakistan

  • Afsheen Abrar

    • ShaheedZulfikar Ali Bhutto Institute of Science and Technology, Islamabad, Pakistan
    • Pakistan

  • Nagina Jamil

    • ShaheedZulfikar Ali Bhutto Institute of Science and Technology, Islamabad, Pakistan
    • Pakistan

  • Abid Ali Shah

    • International Islamic University, Islamabad, Pakistan
    • Pakistan

  • Ahsan-ul-Haq Satti

    • International Islamic University, Islamabad, Pakistan
    • Pakistan

Abstract

The purpose of current study is to explore the volatility linkages between four Asian equity markets, which arePakistan (Karachi Stock Exchange), India (Bombay Stock Exchange), Hong Kong (Hang Sang Index) and Singapore (Strait Time Index). We estimate Multivariate GARCH BEKK model using weekly returns from January 2000 to August 2011.Direct evidences of linkages are found among all markets with respect to conditional mean returns and volatility.Own volatility spillover is found greater than cross volatility spillover in all emerging and developed economies.The insinuation of this study is that overseas investors may take advantage from the decrease of uncertainty by accumulating the stocks in the emerging markets to their investment portfolio.

Keywords

References

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How to Cite

Iqbal, M. J., Rafique, S., Abrar, A., Jamil, N., Shah, A. A., & Satti, A.- ul-H. (2012). Volatility Linkages between Equity Markets of Pakistan, India, Singapore and Hong Kong: A GARCH BEKK Approach. Journal of Economics and Behavioral Studies, 4(1), 47-54. https://doi.org/10.22610/jebs.v4i1.301

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Copyright (c) 2012 Muhammad Junaid Iqbal, Sadia Rafique, Afsheen Abrar, Nagina Jamil, Abid Ali Shah, Ahsan-ul-Haq Satti (Author)

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Research Paper

Published in

Vol. 4 No. 1 (2012) Disclosure, Markets & Corporate Finance View issue contents

Published

2012-01-15

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