Unveiling Market Connectedness: Dynamic Returns Spillovers in Asian Emerging Stock Markets
This study investigates the returns spillovers across the equity markets of Asian emerging economies (China, India, Indonesia, Malaysia, Pakistan, Philippines, South Korea, Taiwan, and Thailand). To achieve this objective, we used two different spillover methodologies (DY 2012 and BK 2018). Moreover, this study used the daily closing prices of equity indices ranging from 5 January 2005 to 13 November 2021. The empirical findings revealed that the total spillover index using DY 2012, and the short-term frequency index using BK 2018, are close to each other, with values of 46.92% and 43.04%, respectively. However, the spillover index value is high, with a value of 56.25% in the long run. Furthermore, the results showed that the stock markets of South Korea and Taiwan are the major spillover transmitters in the Asian emerging markets. Also, the financial association among all emerging Asian equities is at its peak, subject to the mobility of cash flows across the global economies. The results of this study provide meaningful insight for policymakers and investors to implement an effective strategy to overcome the possible influence of any financial crisis in the future. Our paper provides a potential contribution to the financial literature by examining the transmission of spillovers across the Asian emerging stock markets. Furthermore, it provides in-depth information regarding stock market interdependence.
Kayani, Umar Nawaz
Mughal, Khurrum Shahzad
PublisherMultidisciplinary Digital Publishing Institute (MDPI)
Show related files by: title, author, creator, and topic.
The relative influence of inter-generational co-residence on healthcare market and labour market outcomes in post-Affordable Care Act USA Niankara, Ibrahim (Inderscience Publishers, 2020)This paper investigates the effects of inter-generational co-residence on healthcare market, and labour market outcomes in post-Affordable-Care Act (ACA) USA. The analytical strategy involves not only looking at the gender ...
Pooled cross-sectional sample data of the 2015, 2016, 2017 National Health Interview Surveys for studying the determinants of health care market and labor market outcomes in post Affordable Care Act USA Niankara, Ibrahim (Elsevier Inc., 2019)This data article contains health care market and labor market outcome measures along with their determinants for individuals in the civilian non-institutionalized population of the United States. The underlying source ...
The effect of social media marketing, compatibility and perceived ease of use on marketing performance: Evidence from hotel industry Nuseira, Mohammed T.; Elrefaea, Ghaleb (Growing Science, 2022)This research effort addresses the role of social media marketing activities, the compatibility with latest technology availability and perceived ease of use of social media and technological applications and systems to ...