Spillover Effects between Developed Stock Markets and ASEAN-5 Stock Markets

  • Yeoh, B.K. School of Mathematical Sciences, Universiti Sains Malaysia, 11800 Penang Malaysia
  • Arsad, Z. School of Mathematical Sciences, Universiti Sains Malaysia, 11800 Penang Malaysia

Abstract

Understanding the volatility spillover is crucial for asset allocation decisions, in executing hedging strategies and for devising policies related to capital inflow in the market. This paper examines the mean and volatility spillover effects from the developed countries, namely the US, the UK and Japan to five ASEAN countries; Malaysia, Thailand, Indonesia, Singapore and the Philippines. Investigation has also been carried out on the spillover effect from the ASEAN countries to the developed countries. This study considers the spillover effect across markets in time-varying volatility framework since the findings reveal the unsuitability of constant variance ARMA model. The empirical results show that the returns at ASEAN stock markets are more influenced by Japan and the US than the UK. Significant volatility spillover is observed from regional leading market, Japan to all ASEAN countries. In terms of volatility, the world leading market, the US and the UK only affect certain ASEAN markets. On the influence of smaller markets on larger markets, the returns of Japan stock market are positively and significantly influenced by all five ASEAN markets. Meanwhile, the returns of the US and the UK stock markets are affected by Thailand, Singapore and the Philippines stock markets. In general, the volatility in ASEAN markets does not spill to the developed markets under investigation.

Published
2010-12-30
How to Cite
B.K., Yeoh,; Z., Arsad,. Spillover Effects between Developed Stock Markets and ASEAN-5 Stock Markets. Menemui Matematik (Discovering Mathematics), [S.l.], v. 32, n. 2, p. 1-11, dec. 2010. ISSN 0126-9003. Available at: <https://myjms.mohe.gov.my/index.php/dismath/article/view/13738>. Date accessed: 21 may 2022.

Most read articles by the same author(s)

Obs.: This plugin requires at least one statistics/report plugin to be enabled. If your statistics plugins provide more than one metric then please also select a main metric on the admin's site settings page and/or on the journal manager's settings pages.