Abstract
The purpose of this study to investigate the dynamics of return linkages and volatility spillovers between Asian emerging stock markets (China, Hong Kong, Japan, Malaysia, Pakistan, and South Korea). To achieve this task, we used bivariate EGARCH (1) model. We used daily closing stock prices from January 01, 2010, to December 31, 2018. The findings revealed that the own lagged spillovers are statistically significant in all cases at one percent level. Our findings also show that the asymmetric volatility spillovers are significant in all sampled stock markets except China. We find unidirectional volatility spillovers from the markets of China toward Hong Kong, Malaysia toward South Korea, Hong Kong toward South Korea, Pakistan toward Hong Kong, and Japan toward South Korea. Moreover, the volatility spillovers in the majority stock markets are significant and bidirectional. Therefore, these markets are interrelated, and the spillover effect should be taken into consideration by policymakers who are responsible for economic decision making as they can save the financial sector from unexpected financial shockwaves.
Published Version
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