Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/274991 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 15 [Issue:] 10 [Article No.:] 471 [Year:] 2022 [Pages:] 1-18
Publisher: 
MDPI, Basel
Abstract: 
This is the first comprehensive study to investigate the dynamics of international information spillovers, regional linkages and fundamental forces driving return volatility in the SAARC (South Asian Association for Regional Cooperation) member nation equity markets. We propose a multi-factor model nested within the generalized autoregressive conditional heteroskedasticity framework and enlist comprehensive equity market data. While modeling, we consider global, regional (Asia), and largest neighboring (India) equity markets as sources of information spillover. Our results show that equity returns in all these South Asian markets have positive autocorrelation. The equity markets of India, Pakistan, and Sri Lanka have some degree of global integration; however, their degree of regional integration is comparatively higher. The stock markets of Bangladesh and Nepal, in contrast, lack both global and regional integration. We find limited evidence of neighborhood (India) spillover effect on other markets in the sample. The stock markets of Bangladesh, India and Pakistan stock markets exhibit asymmetric volatility responses, while Nepal exhibits an inverted asymmetric volatility response, and in contrast Sri Lanka exhibits a symmetric volatility response to return shocks. Finally, most of these markets experience volatility spillover effects from the US, Asia, and India stock markets.
Subjects: 
spillover effects
comovement
asymmetric volatility
Bangladesh
India
Nepal
Pakistan
Sri Lanka
JEL: 
G10
G14
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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