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Changes in co-movement and risk transmission between South Asian stock markets amidst the development of regional co-operation
Financial Markets and Portfolio Management Pub Date : 2021-04-07 , DOI: 10.1007/s11408-021-00386-4
Muhammad Niaz Khan , Suzanne G. M. Fifield , Nongnuch Tantisantiwong , David M. Power

This paper documents evidence of changes in the co-movement of stock returns and risk transmission among four South Asian stock markets over periods of regional market reform and global market instability. The sample period (1993–2015) is disaggregated into three sub-periods: before and after the establishment of the South Asian Federation of Exchanges (SAFE) and after the 2008 Global Financial Crisis. The principal components investigation and cointegration analysis conclude that the co-movement among stock returns in this region altered amidst a change in the institutional context and global economic uncertainty. Using a tetra-variate GARCH-BEKK model, we find that, after the establishment of SAFE, the interactions among the markets increased through volatility spillovers, but decreased through shock spillovers. In addition, there were more shock and volatility spillovers in the last sub-period as compared to the first two sub-periods, indicating that risk transmission across countries increased during the period of uncertainty. In particular, the Indian stock market was a risk spreader in South Asia after the setup of SAFE and its influence on the regional stock markets increased even further after the 2008 Global Financial Crisis.



中文翻译:

随着区域合作的发展,南亚股市之间的联动和风险转移发生了变化

本文记录了在区域市场改革和全球市场不稳定时期,四个南亚股票市场之间股票收益联动和风险传递共同变化的证据。样本时期(1993-2015年)分为三个子时期:南亚交易所联合会(SAFE)成立之前和之后以及2008年全球金融危机之后。主成分调查和协整分析得出的结论是,在机构环境和全球经济不确定性变化的情况下,该地区股票收益之间的共同变动发生了变化。使用四变量GARCH-BEKK模型,我们发现,在建立SAFE之后,市场之间的相互作用通过波动性溢出而增加,但通过冲击性溢出而减少。此外,与前两个子时期相比,在最后一个子时期中有更多的震荡和波动性溢出,这表明在不确定期间,跨国家的风险传递增加了。特别是在SAFE成立后,印度股票市场成为南亚的风险传播者,在2008年全球金融危机之后,印度股票市场对区域股票市场的影响甚至进一步增加。

更新日期:2021-04-08
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